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A

AboveIndexIRSelector - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
AboveIndexIRSelector(IndexAwareOptimizer) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.AboveIndexIRSelector
 
AbstractCacheFilter<T> - Class in com.numericalmethod.algoquant.data.cache.processor.filter
AbstractCacheFilter() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.filter.AbstractCacheFilter
 
AbstractCacheSampler<T> - Class in com.numericalmethod.algoquant.data.cache.processor.sampler
AbstractCacheSampler() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.sampler.AbstractCacheSampler
 
AbstractCacheTransformer<T,U> - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
AbstractCacheTransformer() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.AbstractCacheTransformer
 
AbstractStatefulCacheFilter<T> - Class in com.numericalmethod.algoquant.data.cache.processor.filter
AbstractStatefulCacheFilter() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.filter.AbstractStatefulCacheFilter
 
AbstractStatefulCacheTransformer<T,U> - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
AbstractStatefulCacheTransformer() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.AbstractStatefulCacheTransformer
 
acceptOrder(Order, MarketOperator) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.market.SimMarket
Accepts order for this market.
acceptOrder(Order, MarketOperator) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.SimpleSimMarket
 
AccumulationDistributionLine - Class in com.numericalmethod.algoquant.model.signal.technical.volume
Accumulation Distribution Line measures cumulative flow of money in and out of a security.
AccumulationDistributionLine() - Constructor for class com.numericalmethod.algoquant.model.signal.technical.volume.AccumulationDistributionLine
 
add(DateTime, T) - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
Adds an item at a specified time.
add(String, double) - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext.Plot
Adds a new point to a plotted specified series.
add(NamedParam, PerformanceReport) - Method in class com.numericalmethod.algoquant.execution.report.SimulationResultsExporter
Adds parameters used in the simulation, and the corresponding performance report.
add(DateTime, T) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
 
add(TimedEntry<T>) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
 
add(T) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowBySize
 
addAlgorithm(String, PortfolioOptimizationAlgorithm) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation
 
addCache(Product, SequentialCache<? extends OrderBook>) - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCaches
 
addConfigFile(String) - Method in class com.numericalmethod.algoquant.util.config.AQConfig
Adds a configuration file.
addContent(Content) - Method in class com.numericalmethod.algoquant.execution.report.pdf.content.ContentTree
Adds a content to this content tree.
addEvents(SequentialCache<? extends Event>) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation
 
addEvents(SequentialCache<? extends Event>) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.simulation.PortfolioOptimizationSimulation
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.MultiProductTradeBlotter
 
addExecution(Execution) - Method in interface com.numericalmethod.algoquant.execution.component.tradeblotter.MutableTradeBlotter
Adds a new execution.
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.SingleProductTradeBlotter
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.measure.DividendAdjustedRollingProfitLoss
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.MeasureToTimeSeries
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingCash
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingCommission
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingInformationRatio
Adds a new Execution.
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMaxExposure
 
addExecution(Execution) - Method in interface com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasure
Adds a new Execution.
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingOmega
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingPosition
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingPositionSingleAsset
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingProfitAfterTransactionFee
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingProfitLoss
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingProfitLossAfterCommission
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingProfitLossSingleAsset
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingReturn
 
addExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingTransactionFee
 
addMeasure(PerformanceMeasure) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation
 
addMeasures(List<PerformanceMeasure>) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.simulation.PortfolioOptimizationSimulation
 
addOptionData(String, OptionChainData.OptionRight, LocalDate, double, double, double, long, long) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
addOrderBook(DateTime, OrderBook) - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousBasketPrices
 
addPrice(DateTime, Product, double) - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousBasketPrices
 
addPrices(double[]) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfReturns
Updates the series with new prices.
addProduct(Product) - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousBasketPrices
 
addProducts(Set<Product>) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.MultiProductTradeBlotter
 
addRow(Stock, DateTime, double, double...) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PanelDataPrices
 
addRow(Stock, DateTime, double, double...) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PanelDataReturns
 
addRow(double...) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
addRow(Number[]) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
addSynchPriceBasket(SynchronousBasketPrices) - Method in class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
addTag(String, Object) - Method in class com.numericalmethod.algoquant.execution.datatype.order.BasicOrderDescription
Adds a tag to the order.
adjClose - Variable in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
adjClose() - Method in class com.numericalmethod.algoquant.execution.datatype.StockEOD
 
allExecutions() - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.MultiProductTradeBlotter
 
allExecutions() - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.SingleProductTradeBlotter
 
allExecutions() - Method in interface com.numericalmethod.algoquant.execution.component.tradeblotter.TradeBlotter
Gets all executions.
allStocks() - Method in class com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300ConstituentsReader
 
allStocks(Interval) - Method in class com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300ConstituentsReader
 
Alpha - Class in com.numericalmethod.algoquant.execution.performance.measure
Alpha coefficient in capital asset pricing model (CAPM).
Alpha(Interval, Period, double, BenchmarkLookup, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.Alpha
Creates an instance for computing alpha.
alpha() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPM
 
alpha2Code() - Method in enum com.numericalmethod.algoquant.data.calendar.Country
Returns the ISO 3166-1 alpha-2 code.
AlwaysFillModel - Class in com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
In this model we fill those orders that have the right price.
AlwaysFillModel() - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.AlwaysFillModel
 
AlwaysOKFilter() - Constructor for class com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch.AlwaysOKFilter
 
AMA - Class in com.numericalmethod.algoquant.model.signal.technical.movingaverage
Arithmetic moving average.
AMA(double[]) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.AMA
 
AMA(int) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.AMA
 
amount() - Method in class com.numericalmethod.algoquant.execution.component.cash.CashTracker
The current amount of cash.
amSettlementFlag() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
analyze(TradeBlotter, OrderBookCaches, ExchangeRateTable) - Method in interface com.numericalmethod.algoquant.execution.performance.report.analyzer.PerformanceAnalyzer
Generates a performance report from a given trade blotter.
analyze(TradeBlotter, OrderBookCaches, ExchangeRateTable) - Method in class com.numericalmethod.algoquant.execution.performance.report.analyzer.SimplePerformanceAnalyzer
 
AQConfig - Class in com.numericalmethod.algoquant.util.config
Provides a configuration for AlgoQuant.
AQConfig(String) - Constructor for class com.numericalmethod.algoquant.util.config.AQConfig
Loads the specified configuration file.
AQUtils - Class in com.numericalmethod.algoquant.util
This class collects some commonly used utility functions.
AR1GARCH11Returns - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
Creates depth caches which are generated from an AR(1)-GARCH(1,1) model as follows.
AR1GARCH11Returns(double, double, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.AR1GARCH11Returns
 
AR1GARCH11Returns(double, double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.AR1GARCH11Returns
 
AR1GARCH11Task - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Returns are an AR(1) and a GARCH(1, 1) process.
AR1GARCH11Task(MCSimContext<? extends Product>, double[], double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.AR1GARCH11Task
Constructs a new instance with the given parameters.
AR1Returns - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
Constructs a depth cache where the returns are modeled by an AR(1) process as follows.
AR1Returns(double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.AR1Returns
 
AR1Returns(double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.AR1Returns
 
AR1Task - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Returns are an AR(1) process.
AR1Task(MCSimContext<? extends Product>, double[], double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.AR1Task
Constructs a new instance with the given parameters.
ARCH1Returns - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
Constructs a depth cache which are based on a model that assumes \(E(r_t) = 0\) and conditional variances.
ARCH1Returns(double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARCH1Returns
 
ARCH1Returns(double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARCH1Returns
 
ARCH1Task - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Returns are an ARCH(1) process.
ARCH1Task(MCSimContext<? extends Product>, double, double[], RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.ARCH1Task
Constructs a new instance with the given parameters.
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPLowerLimit
 
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUnity
 
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUpperLimit
 
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SimpleSOCPPortfolio
Checks whether all constraints are satisfied for this asset allocation problem for a given vector of weights.
ARIMA0d0Returns - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
Constructs a depth cache where the returns are modeled by an ARIMA(0, d, 0) process as follows.
ARIMA0d0Returns(int, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARIMA0d0Returns
 
ARIMA0d0Returns(int, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARIMA0d0Returns
 
ARMA11Returns - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
Constructs a depth cache where the returns are modeled by an ARMA(1, 1) process as follows: \[ (r_t - \mu) - \varphi (r_{t-1} - \mu) = \varepsilon_t - \vartheta \varepsilon_{t-1}, \] where \(\varepsilon_t\) are random variables with distribution \(N(0, \sigma)\).
ARMA11Returns(double, double, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARMA11Returns
 
ARMA11Returns(double, double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ARMA11Returns
 
ARMA11Task - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Returns are an ARMA(1, 1) process.
ARMA11Task(MCSimContext<? extends Product>, double[], double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.ARMA11Task
Constructs a new instance with the given parameters.
ArrayXYSeriesAdaptor - Class in com.numericalmethod.algoquant.execution.component.chart
 
ArrayXYSeriesAdaptor(Double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.ArrayXYSeriesAdaptor
 
ArrayXYSeriesAdaptor(double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.ArrayXYSeriesAdaptor
 
ArrayXYSeriesAdaptor(double[], double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.ArrayXYSeriesAdaptor
 
asCompustatStock() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI.Component
 
ask(int) - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.OrderBook
Gets the ask price at a specified level.
ask() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData.OptionData
 
asList() - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
Gets a list representation of the data.
asList() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowBySize
Gets the window data.
asset() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
asset() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyAccountingData
 
assetClass() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
assetClass() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
assetClass() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
assetReturn() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils.Snapshot
 
assets() - Method in class com.numericalmethod.algoquant.model.util.price.PriceMatrix
 
at(DateTime, TraderContext.Data.Eod.Field) - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext.Data.Eod
The EOD data at a given time instant (or the closest one in the past).
atDailyTime(String, LocalTime, Interval) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
Constructs a new cache with a given id, where events occur every day at the given time, in the specified interval.
atOneTime(String, DateTime) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
Constructs a new cache with an one-off event at the specified time instant.
atPeriodicInstants(String, Interval, Period) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
Constructs a new cache with a given id, where events occur periodically at the defined instants during an interval.
atPeriodicInstants(String, DateTime, Period, int) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
Constructs a new cache with a given id, where a given number of events occur periodically at the defined instants.
AUD - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
autoShowChart(boolean) - Method in class com.numericalmethod.algoquant.execution.component.chart.plotter.SimpleStrategyPlotter
It is convenient to automatically show the plot in a new window.
AverageAnnualRateOfReturn - Class in com.numericalmethod.algoquant.execution.performance.measure
Average (compound) annual rate of return (ROR).
AverageAnnualRateOfReturn(double, Interval) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.AverageAnnualRateOfReturn
Creates an instance for computing average return.
AverageCalibrationParam() - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit.AverageCalibrationParam
 
AverageDailyMovement - Class in com.numericalmethod.algoquant.model.signal.technical
Average Daily Movement is the moving average of movements defined as (daily high - daily low).
AverageDailyMovement(LocalTime, int) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.AverageDailyMovement
Constructs an instance to track the average daily movement over a fixed length window.
AverageDailyMovement(int) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.AverageDailyMovement
Constructs an instance to track the average daily movement over a fixed length window, with the start time of a day defined as midnight (that is, 00:00).

B

baseCurrency() - Method in exception com.numericalmethod.algoquant.execution.datatype.fxrate.ExchangeRateTable.MissingRateException
 
baseCurrency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
baseCurrency() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.fx.FX
Gets the base currency (or transaction currency), i.e., AAA in AAA/BBB.
baseCurrency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.fx.FXMajor
 
baseCurrency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFX
 
baseCurrency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFXProduct
 
BasicOrderDescription - Class in com.numericalmethod.algoquant.execution.datatype.order
This class represents basic description of an order.
BasicOrderDescription(Product, BasicOrderDescription.Side, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.order.BasicOrderDescription
 
BasicOrderDescription.Side - Enum in com.numericalmethod.algoquant.execution.datatype.order
 
Basket<T extends Product> - Interface in com.numericalmethod.algoquant.execution.datatype.product.basket
Represents a basket of assets.
basket() - Method in interface com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.Param
 
basket() - Method in class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.SimpleParam
 
BASKET_RENEWAL_TIMER_ID - Static variable in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MultiPeriodKagiMRStrategy
 
BasketAnalysisUtils - Class in com.numericalmethod.algoquant.model.daspremont2008.util
 
BasketAnalysisUtils() - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.util.BasketAnalysisUtils
 
basketCount() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
basketRenewalPeriod() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
basketsAtTime(DateTime) - Method in interface com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasketProvider
Gives a list of baskets selected at a given time.
basketsAtTime(DateTime) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.SimpleMRBasketProvider
 
basketSize() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
BasketUtils - Class in com.numericalmethod.algoquant.execution.datatype.product.basket
Provides utility methods to construct various types of baskets.
BatchParameterizedSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch
This class allows running simulations in parallel for many sets of strategy parameters.
BatchParameterizedSimulation(SimSetting) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.BatchParameterizedSimulation
 
BatchSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch
Processes in batch a collection of SimTasks.
BatchSimulation() - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.BatchSimulation
 
begin() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the begin time of the buffer, i.e., the time of the first entry.
begin() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBar
Gets the begin time of the bar representation, inclusively.
beginningTimes() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBars
Gets all the beginning times of the bars.
beginningTimes() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.RangeBars
Gets all the beginning times of the bars.
beginTime(SequentialCache<?>) - Static method in interface com.numericalmethod.algoquant.data.cache.SequentialCache
Determines the first time in the given cache, or null if the cache is null or empty.
benchmark() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
benchmark() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
BenchmarkLookup - Interface in com.numericalmethod.algoquant.execution.performance.measure
 
benchmarks() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketTimeSeries
 
BernoulliFillModel - Class in com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
In this fill model, orders are executed either always, never or according to the outcome of a Bernoulli trial, depending on the limit of the order.
BernoulliFillModel(double, RandomLongGenerator) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliFillModel
Constructs a Bernoulli fill model.
BernoulliFillModel(double) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliFillModel
Constructs a Bernoulli fill model.
BernoulliPartialFillModel - Class in com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
This fill model is an extension of the BernoulliFillModel, with the enhancement that some orders may not be filled completely, i.e., filled partially.
BernoulliPartialFillModel(double, RandomLongGenerator) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliPartialFillModel
Constructs a Bernoulli partial fill model.
BernoulliPartialFillModel(double) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliPartialFillModel
Constructs a Bernoulli partial fill model.
bestBid() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
bestOffer() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
Beta - Class in com.numericalmethod.algoquant.execution.performance.measure
Beta coefficient in capital asset pricing model (CAPM).
Beta(Interval, Period, double, BenchmarkLookup, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.Beta
Creates an instance for computing market beta.
beta(DateTime, double[][]) - Method in interface com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy.Customization
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundLongTermMeanConstantCoefficients
 
beta - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateConstantCoefficients
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaConstant
 
beta - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
beta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
beta() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPM
 
beta0 - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
betaAdjusted() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPM
 
BetaCointegration - Class in com.numericalmethod.algoquant.model.elliott2005.strategy.part
 
BetaCointegration(double, double, double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
BetaCointegration(double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
BetaConstant - Class in com.numericalmethod.algoquant.model.elliott2005.strategy.part
 
BetaConstant(Vector) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaConstant
 
BetaDefined(double) - Constructor for class com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch.BetaDefined
 
BetaHedging - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
BetaHedging() - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.BetaHedging
 
betaMax - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
betaMin - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
bias(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUnity
Computes the amount of deviation from unity, hence bias.
bid(int) - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.OrderBook
Gets the bid price at a specified level.
bid() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData.OptionData
 
BIDASK_MID - Static variable in class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleDataTransformers
This converts a OrderBook data into a Double by taking the mid-price.
BIDASK_MID - Static variable in class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleEntryCacheTransformers
Converts a OrderBook data into a Double by taking its mid-price.
BlackScholesFormula - Class in com.numericalmethod.algoquant.model.blackscholes
Computes prices for call and put options based on Black-Scholes formula.
BlackScholesFormula() - Constructor for class com.numericalmethod.algoquant.model.blackscholes.BlackScholesFormula
 
BLANK_CANVAS - Static variable in interface com.numericalmethod.algoquant.execution.report.Canvas
 
BloombergSessionFactory - Interface in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Creates a session with the Bloomberg platform for downloading data.
BloombergTickData - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Represents a single tick data.
BloombergTickData(DateTime, BloombergTickData.Type, double, int, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickData
Creates an instance.
BloombergTickData.Type - Enum in com.numericalmethod.algoquant.data.historicaldata.bloomberg
The price types.
BloombergTickDataCacheFactory - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Represents a source for Bloomberg tick data.
BloombergTickDataCacheFactory(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataCacheFactory
Creates the cache factory, with the data folder location.
BloombergTickDataDownloadApp - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Downloads intra-day tick data from Bloomberg platform.
BloombergTickDataDownloadApp() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataDownloadApp
 
BloombergTickDataDownloader - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Downloads Bloomberg tick data.
BloombergTickDataDownloader(BloombergSessionFactory) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataDownloader
Constructs a downloader with a session factory that creates new sessions to the server.
BloombergTickDataFileReader - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
This reader reads Bloomberg tick data files from a directory.
BloombergTickDataFileReader(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataFileReader
Creates a reader that reads data from a given folder.
BloombergTickDataFileUtils - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Utilities for managing Bloomberg data files.
BloombergTickDataFileWriter - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
This writer saves BloombergTickData into a series of data files (one file per day) in an output directory.
BloombergTickDataFileWriter(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataFileWriter
Constructs a writer writing to an output directory.
BloombergTickRequestFactory - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
This factory implements the details for creating and configuring a BloombergTickData from a Service.
BloombergTickRequestFactory() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickRequestFactory
 
BloombergTickRequestFactory.EventOfInterest - Enum in com.numericalmethod.algoquant.data.historicaldata.bloomberg
The events that can be subscribed from a service.
BootstrapMultiCacheFactory - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
Generates bootstrapped (or resampled) price/depth caches from the original input caches.
BootstrapMultiCacheFactory(List<SequentialCache<OrderBook>>) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapMultiCacheFactory(List<SequentialCache<OrderBook>>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapMultiCacheFactory(List<SequentialCache<OrderBook>>, MultivariateResampler, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapOrderBookCachesFactory - Interface in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSimulation(BootstrapOrderBookCachesFactory, BootstrapSimulation.Template, Interval) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulation
 
BootstrapSimulation.Template - Interface in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSingleCacheFactory - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSingleCacheFactory(SequentialCache<OrderBook>, Resampler, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
BootstrapSingleCacheFactory(SequentialCache<OrderBook>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
BootstrapSingleCacheFactory(SequentialCache<OrderBook>) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
Broker - Interface in com.numericalmethod.algoquant.execution.component.broker
Defines services provided by a broker to a strategy.
broker() - Method in class com.numericalmethod.algoquant.execution.component.context.SimpleTraderContext
 
broker() - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext
 
BrokerMessage - Interface in com.numericalmethod.algoquant.execution.component.broker.message
This interface defines messages which are sent to a market for order management.
BrokerMessage.Handler - Interface in com.numericalmethod.algoquant.execution.component.broker.message
 
BufferCache<T> - Class in com.numericalmethod.algoquant.data.cache
This cache is backed by a TimedBuffer.
BufferCache(int) - Constructor for class com.numericalmethod.algoquant.data.cache.BufferCache
Creates a new instance with the given capacity (see TimedBuffer).
BufferCache() - Constructor for class com.numericalmethod.algoquant.data.cache.BufferCache
Creates a new instance with the maximum capacity.
build() - Method in class com.numericalmethod.algoquant.execution.component.simulator.SimpleSimulatorBuilder
 
build() - Method in interface com.numericalmethod.algoquant.execution.component.simulator.SimulatorBuilder
Builds an instance of simulator according to the configuration.
build() - Method in class com.numericalmethod.algoquant.execution.component.simulator.StrategyComponentBuilder
 
BuyAndHold - Class in com.numericalmethod.algoquant.model.strategy
Implements a buy-and-hold strategy of an initially fixed weights.
BuyAndHold(Map<Product, Double>, double) - Constructor for class com.numericalmethod.algoquant.model.strategy.BuyAndHold
 
BuySellByExpCumReturn - Class in com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold
 
BuySellByExpCumReturn(Threshold) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold.BuySellByExpCumReturn
 
BuySellByExpNextReturn - Class in com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold
 
BuySellByExpNextReturn(Threshold) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold.BuySellByExpNextReturn
 
by(CacheProcessor<MarketSnapshot, MarketSnapshot>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryProcessor.ProcessedMarketHistory
 
byPeriodMeasures() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.Results
 

C

Cache2Matrix - Class in com.numericalmethod.algoquant.data.cache.util
This class converts multiple data caches into a matrix, where each cache represents a column.
Cache2Matrix(Collection<SequentialCache<Double>>) - Constructor for class com.numericalmethod.algoquant.data.cache.util.Cache2Matrix
Combines a collection of caches into a matrix.
Cache2Matrix(SequentialCache<Double>...) - Constructor for class com.numericalmethod.algoquant.data.cache.util.Cache2Matrix
Combines a collection of caches into a matrix.
Cache2ReturnsMatrix - Class in com.numericalmethod.algoquant.data.cache.util
This class converts multiple Double data caches into a matrix of their returns.
Cache2ReturnsMatrix(List<SequentialCache<Double>>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.data.cache.util.Cache2ReturnsMatrix
Combines multiple price caches into a matrix of returns, computed by a given return calculator.
Cache2ReturnsMatrix(List<SequentialCache<Double>>) - Constructor for class com.numericalmethod.algoquant.data.cache.util.Cache2ReturnsMatrix
Combines multiple price caches into a matrix of log-returns.
Cache2ReturnsMatrix(SequentialCache<Double>...) - Constructor for class com.numericalmethod.algoquant.data.cache.util.Cache2ReturnsMatrix
Combines multiple price caches into a matrix of log-returns.
CACHE_FILE_NAME - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.china.CSI300
 
CACHE_FILE_NAME - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
 
CACHE_FILE_NAME - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
CacheFilter<T> - Interface in com.numericalmethod.algoquant.data.cache.processor.filter
Filters cache entries.
cacheMap() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCaches
Gets an immutable copy of the order book cache map.
CacheProcessor<T,U> - Interface in com.numericalmethod.algoquant.data.cache.processor
Processes cache data.
CacheSampler<T> - Interface in com.numericalmethod.algoquant.data.cache.processor.sampler
Samples the cache data to output only those at the specified time points.
CacheTransformer<T,U> - Interface in com.numericalmethod.algoquant.data.cache.processor.transformer
Transforms cache entries of one type to entries of another type.
CAD - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
calculate(CompanyMeasure, SequentialCache<CompanySnapshot>, Interval) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureStatistic
Calculates the statistic of a company measure from the company history during an interval.
calculate(CompanyMeasure, SequentialCache<CompanySnapshot>, Interval, Statistic) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureStatistics
 
CalendarUtils - Class in com.numericalmethod.algoquant.data.calendar
 
call() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
callPrice(double, double, double, double, LocalDate, LocalDate) - Method in class com.numericalmethod.algoquant.model.blackscholes.BlackScholesFormula
Computes the value of a call option for a non-dividend-paying underlying stock.
callPrice(double, double, double, double, double) - Method in class com.numericalmethod.algoquant.model.blackscholes.BlackScholesFormula
Computes the value of a call option for a non-dividend-paying underlying stock.
callPutFlag() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
CalmarRatio - Class in com.numericalmethod.algoquant.execution.performance.measure
Calmar ratio (or drawdown ratio).
CalmarRatio(double, Interval) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.CalmarRatio
Creates an instance for computing Calmar ratio.
cancelAllOrders(Broker, Collection<? extends Order>) - Static method in class com.numericalmethod.algoquant.execution.strategy.StrategyUtils
 
cancelOrder(Order...) - Method in interface com.numericalmethod.algoquant.execution.component.broker.Broker
 
cancelOrder(Collection<? extends Order>) - Method in interface com.numericalmethod.algoquant.execution.component.broker.Broker
 
cancelOrder(Collection<? extends Order>) - Method in class com.numericalmethod.algoquant.execution.component.broker.SimpleBroker
 
cancelOrder(Order, MarketOperator) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.market.SimMarket
Cancels the order, such that if it has not been executed, it will not get executed in the future.
cancelOrder(Order, MarketOperator) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.SimpleSimMarket
Removes a single instance of the specified order from the queue, if it is present.
cancelOrder(Broker, Order) - Static method in class com.numericalmethod.algoquant.execution.strategy.StrategyUtils
 
Canvas - Interface in com.numericalmethod.algoquant.execution.report
Receives charts and display them in whatever way.
capacity() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the maximum number of items to be remembered by this buffer.
capacity() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
capital() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
capitalization() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
CAPM - Interface in com.numericalmethod.algoquant.model.factormodel.capm
The CAPM model.
CAPMUtils - Class in com.numericalmethod.algoquant.model.factormodel.capm
 
CAPMUtils.Snapshot - Interface in com.numericalmethod.algoquant.model.factormodel.capm
 
cash() - Method in class com.numericalmethod.algoquant.execution.component.context.SimpleTraderContext
 
cash() - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext
 
cashflow() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
cashflow() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyAccountingData
 
Cashflow - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
The cashflow of a company.
Cashflow() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Cashflow
 
CashTracker - Class in com.numericalmethod.algoquant.execution.component.cash
Keeps track of cash amount.
CashTracker() - Constructor for class com.numericalmethod.algoquant.execution.component.cash.CashTracker
Creates an instance with zero initial cash.
CashTracker(double) - Constructor for class com.numericalmethod.algoquant.execution.component.cash.CashTracker
Creates an instance with a given initial cash amount.
CashTracker(TransactionFeeScheme) - Constructor for class com.numericalmethod.algoquant.execution.component.cash.CashTracker
Creates an instance with zero initial cash, and a given scheme for computing transaction fee for executions.
CashTracker(double, TransactionFeeScheme) - Constructor for class com.numericalmethod.algoquant.execution.component.cash.CashTracker
 
category() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
category() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
category() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
cdf() - Method in class com.numericalmethod.algoquant.model.breeden1978.OptionBasedRiskNeutralDistribution
 
ChaikinMoneyFlow - Class in com.numericalmethod.algoquant.model.signal.technical.volume
The Chaikin Money Flow is similar to the Accumulation Distribution Line, but instead of measuring the cumulative flow of money, it measures the flow of money over a specified period of time.
ChaikinMoneyFlow(int) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.volume.ChaikinMoneyFlow
 
chain(CacheProcessor<U, V>) - Method in class com.numericalmethod.algoquant.data.cache.processor.ProcessorChain
Adds an additional processor at the end of the chain.
chain(SimulatorBuilder) - Method in class com.numericalmethod.algoquant.execution.simulation.template.composite.ChainMarketSnapshots
 
chain(SimulatorBuilder) - Method in class com.numericalmethod.algoquant.execution.simulation.template.composite.ChainPeriodicTimer
 
chain(SimulatorBuilder) - Method in interface com.numericalmethod.algoquant.execution.simulation.template.composite.ChainSimulatorBuilder
 
ChainMarketSnapshots - Class in com.numericalmethod.algoquant.execution.simulation.template.composite
ChainMarketSnapshots(MarketHistory) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.ChainMarketSnapshots
 
ChainPeriodicTimer - Class in com.numericalmethod.algoquant.execution.simulation.template.composite
Chains a timer to a SimpleSimulatorBuilder.
ChainPeriodicTimer(TimerEventCache) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.ChainPeriodicTimer
 
ChainPeriodicTimer(String, Interval, Period) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.ChainPeriodicTimer
Constructs a new instance that adds a specified timer to the simulator.
ChainSimulatorBuilder - Interface in com.numericalmethod.algoquant.execution.simulation.template.composite
 
ChannelMessage - Class in com.numericalmethod.algoquant.execution.component.simulator.message
A channel message is a fully qualified message of the subscribable event.
ChannelMessage(DateTime, Event, TraderContext) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
ChannelMessageDispatcher - Interface in com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher
Defines methods for dispatching ChannelMessage read from Channel.
ChannelMessageHandler - Interface in com.numericalmethod.algoquant.execution.component.simulator.message.handler
This interface defines the method to handle a channel message.
ChannelMessageHandlerFactories - Enum in com.numericalmethod.algoquant.execution.component.simulator.message.handler
Factories to construct a ChannelMessageHandler from a StrategyHandler.
ChannelMessageHandlerFactory - Interface in com.numericalmethod.algoquant.execution.component.simulator.message.handler
Defines a factory for ChannelMessageHandler of a Event handler.
CHARSET - Static variable in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
The Charset used in the file.
charset() - Static method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataFileUtils
Gets the character set used in the saved csv files.
charset() - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatUtils
 
CHARSET - Static variable in class com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataFileSplitter
 
charset() - Static method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXFileUtils
 
chart() - Method in class com.numericalmethod.algoquant.execution.component.chart.plotter.SimpleStrategyPlotter
Gets the chart that was drawn.
ChartUtils - Class in com.numericalmethod.algoquant.execution.component.chart
Utilities for plotting charts.
CHF - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
CHICAGO - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
Chicago
CHINA - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
China
ChinaCommodity - Enum in com.numericalmethod.algoquant.execution.datatype.product.commodity
Some of the traded commodities in China.
ChinaStock - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.china
 
chooseMarkToMarketPrices(Map<P, Double>, Map<? extends Product, OrderBook>) - Static method in class com.numericalmethod.algoquant.execution.datatype.order.OrderUtils
Chooses mark-to-market prices from the given product depths, based on the given positions.
chooseMarkToMarketPrices(Portfolio<T>, Map<T, OrderBook>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioFactory
Chooses the mark-to-market prices for a portfolio given the order books (depths).
chooseProducts(DateTime) - Method in interface com.numericalmethod.algoquant.model.strategy.rebalance.RebalancePortfolio.ProductChooser
Gets a list of available product at a time.
classDesignator() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
className() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.Factor.FactorDescription
 
cleanup() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMap
Removes the NaN values.
clear() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfReturns
Clears all the cached returns.
close - Variable in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
close() - Method in class com.numericalmethod.algoquant.execution.datatype.OHLC
 
close() - Method in class com.numericalmethod.algoquant.execution.report.xml.ExecutionXMLWriter
 
close() - Method in class com.numericalmethod.algoquant.execution.report.xml.SimulationXMLWriter
 
close() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
CLOSE_POSITION_TIMER_ID - Static variable in class com.numericalmethod.algoquant.model.daspremont2008.strategy.KagiMRStrategy
 
closeAllPositions(TradeBlotter, Broker) - Static method in class com.numericalmethod.algoquant.execution.strategy.StrategyUtils
 
closeConnection() - Method in class com.numericalmethod.algoquant.util.sql.SQLOp
 
closeTime() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
The closing local time of the exchange.
closingTimeOnDate(LocalDate) - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
 
closingTimeOnDate(DateTime) - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
 
ClusterFinder - Class in com.numericalmethod.algoquant.model.daspremont2008.strategy
Finds clusters of symbols.
ClusterFinder(PriceMatrixFactory<String>, Interval, double) - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.strategy.ClusterFinder
 
CNY - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
code() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQSaleCondition
 
code() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.china.ChinaStock
 
code() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSIndustry
 
code() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSIndustryGroup
 
code() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSSector
 
code() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSSubIndustry
 
CointegratedPairsSearch<P extends Product> - Class in com.numericalmethod.algoquant.model.analysis.cointegration
Searches for cointegrated enough pairs, as defined in CointegratedPairsSearch.Filter among a set of products.
CointegratedPairsSearch(List<P>, OrderBookCacheFactory<P>, Interval, Period, CointegratedPairsSearch.Filter) - Constructor for class com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch
 
CointegratedPairsSearch.AlwaysOKFilter - Class in com.numericalmethod.algoquant.model.analysis.cointegration
 
CointegratedPairsSearch.BetaDefined - Class in com.numericalmethod.algoquant.model.analysis.cointegration
 
CointegratedPairsSearch.Filter - Interface in com.numericalmethod.algoquant.model.analysis.cointegration
 
color() - Method in class com.numericalmethod.algoquant.execution.report.pdf.content.text.Font
 
ColumnSpec(String, CSVCacheLoader.DateTimeParser, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader.ColumnSpec
Constructs an instance with the column headers, and the date/time format used in the CSV file.
ColumnSpec(String, DateTimeFormatter, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader.ColumnSpec
Constructs an instance with the column headers, and the date/time format used in the CSV file.
ColumnSpec(String, String, DateTimeZone, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader.ColumnSpec
Constructs an instance with the column headers, and the date/time format used in the CSV file.
com.numericalmethod.algoquant.data.cache - package com.numericalmethod.algoquant.data.cache
 
com.numericalmethod.algoquant.data.cache.processor - package com.numericalmethod.algoquant.data.cache.processor
 
com.numericalmethod.algoquant.data.cache.processor.filter - package com.numericalmethod.algoquant.data.cache.processor.filter
 
com.numericalmethod.algoquant.data.cache.processor.sampler - package com.numericalmethod.algoquant.data.cache.processor.sampler
 
com.numericalmethod.algoquant.data.cache.processor.transformer - package com.numericalmethod.algoquant.data.cache.processor.transformer
 
com.numericalmethod.algoquant.data.cache.util - package com.numericalmethod.algoquant.data.cache.util
 
com.numericalmethod.algoquant.data.calendar - package com.numericalmethod.algoquant.data.calendar
 
com.numericalmethod.algoquant.data.calendar.datafile - package com.numericalmethod.algoquant.data.calendar.datafile
 
com.numericalmethod.algoquant.data.google - package com.numericalmethod.algoquant.data.google
 
com.numericalmethod.algoquant.data.historicaldata.bloomberg - package com.numericalmethod.algoquant.data.historicaldata.bloomberg
 
com.numericalmethod.algoquant.data.historicaldata.china.wind - package com.numericalmethod.algoquant.data.historicaldata.china.wind
 
com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock - package com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock
 
com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300 - package com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300
 
com.numericalmethod.algoquant.data.historicaldata.compustat - package com.numericalmethod.algoquant.data.historicaldata.compustat
 
com.numericalmethod.algoquant.data.historicaldata.compustat.sql - package com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
com.numericalmethod.algoquant.data.historicaldata.compustat.zip - package com.numericalmethod.algoquant.data.historicaldata.compustat.zip
 
com.numericalmethod.algoquant.data.historicaldata.csv - package com.numericalmethod.algoquant.data.historicaldata.csv
 
com.numericalmethod.algoquant.data.historicaldata.csv.tick - package com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
com.numericalmethod.algoquant.data.historicaldata.gaincapital - package com.numericalmethod.algoquant.data.historicaldata.gaincapital
 
com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess - package com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
 
com.numericalmethod.algoquant.data.historicaldata.hk - package com.numericalmethod.algoquant.data.historicaldata.hk
 
com.numericalmethod.algoquant.data.historicaldata.optionmetrics - package com.numericalmethod.algoquant.data.historicaldata.optionmetrics
 
com.numericalmethod.algoquant.data.historicaldata.sgx - package com.numericalmethod.algoquant.data.historicaldata.sgx
 
com.numericalmethod.algoquant.data.historicaldata.taq - package com.numericalmethod.algoquant.data.historicaldata.taq
 
com.numericalmethod.algoquant.data.historicaldata.yahoo - package com.numericalmethod.algoquant.data.historicaldata.yahoo
 
com.numericalmethod.algoquant.data.historicaldata.yahoo.api - package com.numericalmethod.algoquant.data.historicaldata.yahoo.api
 
com.numericalmethod.algoquant.execution.component.broker - package com.numericalmethod.algoquant.execution.component.broker
 
com.numericalmethod.algoquant.execution.component.broker.message - package com.numericalmethod.algoquant.execution.component.broker.message
 
com.numericalmethod.algoquant.execution.component.broker.otc - package com.numericalmethod.algoquant.execution.component.broker.otc
 
com.numericalmethod.algoquant.execution.component.cash - package com.numericalmethod.algoquant.execution.component.cash
 
com.numericalmethod.algoquant.execution.component.chart - package com.numericalmethod.algoquant.execution.component.chart
 
com.numericalmethod.algoquant.execution.component.chart.plotter - package com.numericalmethod.algoquant.execution.component.chart.plotter
 
com.numericalmethod.algoquant.execution.component.context - package com.numericalmethod.algoquant.execution.component.context
 
com.numericalmethod.algoquant.execution.component.recorder - package com.numericalmethod.algoquant.execution.component.recorder
 
com.numericalmethod.algoquant.execution.component.scheduler - package com.numericalmethod.algoquant.execution.component.scheduler
 
com.numericalmethod.algoquant.execution.component.simulator - package com.numericalmethod.algoquant.execution.component.simulator
 
com.numericalmethod.algoquant.execution.component.simulator.data - package com.numericalmethod.algoquant.execution.component.simulator.data
 
com.numericalmethod.algoquant.execution.component.simulator.event - package com.numericalmethod.algoquant.execution.component.simulator.event
 
com.numericalmethod.algoquant.execution.component.simulator.event.stocksplit - package com.numericalmethod.algoquant.execution.component.simulator.event.stocksplit
 
com.numericalmethod.algoquant.execution.component.simulator.event.timer - package com.numericalmethod.algoquant.execution.component.simulator.event.timer
 
com.numericalmethod.algoquant.execution.component.simulator.market - package com.numericalmethod.algoquant.execution.component.simulator.market
 
com.numericalmethod.algoquant.execution.component.simulator.market.limitorder - package com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
 
com.numericalmethod.algoquant.execution.component.simulator.message - package com.numericalmethod.algoquant.execution.component.simulator.message
 
com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher - package com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher
 
com.numericalmethod.algoquant.execution.component.simulator.message.handler - package com.numericalmethod.algoquant.execution.component.simulator.message.handler
 
com.numericalmethod.algoquant.execution.component.subscriber - package com.numericalmethod.algoquant.execution.component.subscriber
 
com.numericalmethod.algoquant.execution.component.tradeblotter - package com.numericalmethod.algoquant.execution.component.tradeblotter
 
com.numericalmethod.algoquant.execution.datatype - package com.numericalmethod.algoquant.execution.datatype
 
com.numericalmethod.algoquant.execution.datatype.execution - package com.numericalmethod.algoquant.execution.datatype.execution
 
com.numericalmethod.algoquant.execution.datatype.fxrate - package com.numericalmethod.algoquant.execution.datatype.fxrate
 
com.numericalmethod.algoquant.execution.datatype.order - package com.numericalmethod.algoquant.execution.datatype.order
 
com.numericalmethod.algoquant.execution.datatype.orderbook - package com.numericalmethod.algoquant.execution.datatype.orderbook
 
com.numericalmethod.algoquant.execution.datatype.orderbook.cache - package com.numericalmethod.algoquant.execution.datatype.orderbook.cache
 
com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns - package com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns
 
com.numericalmethod.algoquant.execution.datatype.orderbook.marketcondition - package com.numericalmethod.algoquant.execution.datatype.orderbook.marketcondition
 
com.numericalmethod.algoquant.execution.datatype.product - package com.numericalmethod.algoquant.execution.datatype.product
 
com.numericalmethod.algoquant.execution.datatype.product.basket - package com.numericalmethod.algoquant.execution.datatype.product.basket
 
com.numericalmethod.algoquant.execution.datatype.product.commodity - package com.numericalmethod.algoquant.execution.datatype.product.commodity
 
com.numericalmethod.algoquant.execution.datatype.product.derivative - package com.numericalmethod.algoquant.execution.datatype.product.derivative
 
com.numericalmethod.algoquant.execution.datatype.product.derivative.futures - package com.numericalmethod.algoquant.execution.datatype.product.derivative.futures
 
com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx - package com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx
 
com.numericalmethod.algoquant.execution.datatype.product.derivative.option - package com.numericalmethod.algoquant.execution.datatype.product.derivative.option
 
com.numericalmethod.algoquant.execution.datatype.product.etf - package com.numericalmethod.algoquant.execution.datatype.product.etf
 
com.numericalmethod.algoquant.execution.datatype.product.fx - package com.numericalmethod.algoquant.execution.datatype.product.fx
 
com.numericalmethod.algoquant.execution.datatype.product.portfolio - package com.numericalmethod.algoquant.execution.datatype.product.portfolio
 
com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting - package com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting
 
com.numericalmethod.algoquant.execution.datatype.product.stock - package com.numericalmethod.algoquant.execution.datatype.product.stock
 
com.numericalmethod.algoquant.execution.datatype.product.stock.china - package com.numericalmethod.algoquant.execution.datatype.product.stock.china
 
com.numericalmethod.algoquant.execution.datatype.product.stock.company - package com.numericalmethod.algoquant.execution.datatype.product.stock.company
 
com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories - package com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
 
com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory - package com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory
 
com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure - package com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
 
com.numericalmethod.algoquant.execution.datatype.product.stock.hkex - package com.numericalmethod.algoquant.execution.datatype.product.stock.hkex
 
com.numericalmethod.algoquant.execution.datatype.product.stock.market - package com.numericalmethod.algoquant.execution.datatype.product.stock.market
 
com.numericalmethod.algoquant.execution.datatype.product.stock.market.db - package com.numericalmethod.algoquant.execution.datatype.product.stock.market.db
 
com.numericalmethod.algoquant.execution.datatype.product.stock.usa - package com.numericalmethod.algoquant.execution.datatype.product.stock.usa
 
com.numericalmethod.algoquant.execution.datatype.trade - package com.numericalmethod.algoquant.execution.datatype.trade
 
com.numericalmethod.algoquant.execution.datatype.trade.calculator - package com.numericalmethod.algoquant.execution.datatype.trade.calculator
 
com.numericalmethod.algoquant.execution.performance.distribution - package com.numericalmethod.algoquant.execution.performance.distribution
 
com.numericalmethod.algoquant.execution.performance.measure - package com.numericalmethod.algoquant.execution.performance.measure
 
com.numericalmethod.algoquant.execution.performance.measure.byperiod - package com.numericalmethod.algoquant.execution.performance.measure.byperiod
 
com.numericalmethod.algoquant.execution.performance.measure.decomposition - package com.numericalmethod.algoquant.execution.performance.measure.decomposition
 
com.numericalmethod.algoquant.execution.performance.measure.ir - package com.numericalmethod.algoquant.execution.performance.measure.ir
 
com.numericalmethod.algoquant.execution.performance.measure.omega - package com.numericalmethod.algoquant.execution.performance.measure.omega
 
com.numericalmethod.algoquant.execution.performance.measure.pertradestats - package com.numericalmethod.algoquant.execution.performance.measure.pertradestats
 
com.numericalmethod.algoquant.execution.performance.measure.transactionfee - package com.numericalmethod.algoquant.execution.performance.measure.transactionfee
 
com.numericalmethod.algoquant.execution.performance.plotter - package com.numericalmethod.algoquant.execution.performance.plotter
 
com.numericalmethod.algoquant.execution.performance.report - package com.numericalmethod.algoquant.execution.performance.report
 
com.numericalmethod.algoquant.execution.performance.report.analyzer - package com.numericalmethod.algoquant.execution.performance.report.analyzer
 
com.numericalmethod.algoquant.execution.performance.report.exporter - package com.numericalmethod.algoquant.execution.performance.report.exporter
 
com.numericalmethod.algoquant.execution.performance.rolling - package com.numericalmethod.algoquant.execution.performance.rolling
 
com.numericalmethod.algoquant.execution.report - package com.numericalmethod.algoquant.execution.report
 
com.numericalmethod.algoquant.execution.report.pdf - package com.numericalmethod.algoquant.execution.report.pdf
 
com.numericalmethod.algoquant.execution.report.pdf.content - package com.numericalmethod.algoquant.execution.report.pdf.content
 
com.numericalmethod.algoquant.execution.report.pdf.content.text - package com.numericalmethod.algoquant.execution.report.pdf.content.text
 
com.numericalmethod.algoquant.execution.report.xml - package com.numericalmethod.algoquant.execution.report.xml
 
com.numericalmethod.algoquant.execution.report.xml.bean - package com.numericalmethod.algoquant.execution.report.xml.bean
 
com.numericalmethod.algoquant.execution.simulation.batch - package com.numericalmethod.algoquant.execution.simulation.batch
 
com.numericalmethod.algoquant.execution.simulation.batch.bootstrap - package com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
com.numericalmethod.algoquant.execution.simulation.batch.montecarlo - package com.numericalmethod.algoquant.execution.simulation.batch.montecarlo
 
com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task - package com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
 
com.numericalmethod.algoquant.execution.simulation.batch.sensitivity - package com.numericalmethod.algoquant.execution.simulation.batch.sensitivity
 
com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter - package com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter
 
com.numericalmethod.algoquant.execution.simulation.setting - package com.numericalmethod.algoquant.execution.simulation.setting
 
com.numericalmethod.algoquant.execution.simulation.template - package com.numericalmethod.algoquant.execution.simulation.template
 
com.numericalmethod.algoquant.execution.simulation.template.composite - package com.numericalmethod.algoquant.execution.simulation.template.composite
 
com.numericalmethod.algoquant.execution.strategy - package com.numericalmethod.algoquant.execution.strategy
 
com.numericalmethod.algoquant.execution.strategy.composite - package com.numericalmethod.algoquant.execution.strategy.composite
 
com.numericalmethod.algoquant.execution.strategy.handler - package com.numericalmethod.algoquant.execution.strategy.handler
 
com.numericalmethod.algoquant.model.analysis.cointegration - package com.numericalmethod.algoquant.model.analysis.cointegration
 
com.numericalmethod.algoquant.model.blackscholes - package com.numericalmethod.algoquant.model.blackscholes
 
com.numericalmethod.algoquant.model.breeden1978 - package com.numericalmethod.algoquant.model.breeden1978
 
com.numericalmethod.algoquant.model.dai2011.strategy - package com.numericalmethod.algoquant.model.dai2011.strategy
 
com.numericalmethod.algoquant.model.daspremont2008.simulation - package com.numericalmethod.algoquant.model.daspremont2008.simulation
 
com.numericalmethod.algoquant.model.daspremont2008.strategy - package com.numericalmethod.algoquant.model.daspremont2008.strategy
 
com.numericalmethod.algoquant.model.daspremont2008.util - package com.numericalmethod.algoquant.model.daspremont2008.util
 
com.numericalmethod.algoquant.model.elliott2005 - package com.numericalmethod.algoquant.model.elliott2005
 
com.numericalmethod.algoquant.model.elliott2005.strategy - package com.numericalmethod.algoquant.model.elliott2005.strategy
 
com.numericalmethod.algoquant.model.elliott2005.strategy.part - package com.numericalmethod.algoquant.model.elliott2005.strategy.part
 
com.numericalmethod.algoquant.model.factormodel.amp2008 - package com.numericalmethod.algoquant.model.factormodel.amp2008
 
com.numericalmethod.algoquant.model.factormodel.bucket - package com.numericalmethod.algoquant.model.factormodel.bucket
 
com.numericalmethod.algoquant.model.factormodel.capm - package com.numericalmethod.algoquant.model.factormodel.capm
 
com.numericalmethod.algoquant.model.factormodel.factor - package com.numericalmethod.algoquant.model.factormodel.factor
 
com.numericalmethod.algoquant.model.factormodel.factor.definition - package com.numericalmethod.algoquant.model.factormodel.factor.definition
 
com.numericalmethod.algoquant.model.factormodel.factor.definition.company - package com.numericalmethod.algoquant.model.factormodel.factor.definition.company
 
com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting - package com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
 
com.numericalmethod.algoquant.model.factormodel.factor.definition.market - package com.numericalmethod.algoquant.model.factormodel.factor.definition.market
 
com.numericalmethod.algoquant.model.factormodel.qepm - package com.numericalmethod.algoquant.model.factormodel.qepm
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression
 
com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.zeroinvestmentportfolio - package com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.zeroinvestmentportfolio
 
com.numericalmethod.algoquant.model.factormodel.qepm.strategy - package com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
com.numericalmethod.algoquant.model.infantino2010 - package com.numericalmethod.algoquant.model.infantino2010
 
com.numericalmethod.algoquant.model.infantino2010.strategy - package com.numericalmethod.algoquant.model.infantino2010.strategy
 
com.numericalmethod.algoquant.model.infantino2010.strategy.order - package com.numericalmethod.algoquant.model.infantino2010.strategy.order
 
com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold - package com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold
 
com.numericalmethod.algoquant.model.jurek2007 - package com.numericalmethod.algoquant.model.jurek2007
 
com.numericalmethod.algoquant.model.kst1995 - package com.numericalmethod.algoquant.model.kst1995
 
com.numericalmethod.algoquant.model.portfoliooptimization - package com.numericalmethod.algoquant.model.portfoliooptimization
 
com.numericalmethod.algoquant.model.portfoliooptimization.lai2010 - package com.numericalmethod.algoquant.model.portfoliooptimization.lai2010
 
com.numericalmethod.algoquant.model.portfoliooptimization.markowitz - package com.numericalmethod.algoquant.model.portfoliooptimization.markowitz
 
com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints - package com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints
 
com.numericalmethod.algoquant.model.portfoliooptimization.performance - package com.numericalmethod.algoquant.model.portfoliooptimization.performance
 
com.numericalmethod.algoquant.model.portfoliooptimization.simulation - package com.numericalmethod.algoquant.model.portfoliooptimization.simulation
 
com.numericalmethod.algoquant.model.portfoliooptimization.socp - package com.numericalmethod.algoquant.model.portfoliooptimization.socp
 
com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints - package com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints
 
com.numericalmethod.algoquant.model.regime - package com.numericalmethod.algoquant.model.regime
 
com.numericalmethod.algoquant.model.signal - package com.numericalmethod.algoquant.model.signal
 
com.numericalmethod.algoquant.model.signal.technical - package com.numericalmethod.algoquant.model.signal.technical
 
com.numericalmethod.algoquant.model.signal.technical.crossover - package com.numericalmethod.algoquant.model.signal.technical.crossover
 
com.numericalmethod.algoquant.model.signal.technical.crossover.sma2 - package com.numericalmethod.algoquant.model.signal.technical.crossover.sma2
 
com.numericalmethod.algoquant.model.signal.technical.movingaverage - package com.numericalmethod.algoquant.model.signal.technical.movingaverage
 
com.numericalmethod.algoquant.model.signal.technical.ohlc - package com.numericalmethod.algoquant.model.signal.technical.ohlc
 
com.numericalmethod.algoquant.model.signal.technical.volume - package com.numericalmethod.algoquant.model.signal.technical.volume
 
com.numericalmethod.algoquant.model.signal.timed - package com.numericalmethod.algoquant.model.signal.timed
 
com.numericalmethod.algoquant.model.strategy - package com.numericalmethod.algoquant.model.strategy
 
com.numericalmethod.algoquant.model.strategy.rebalance - package com.numericalmethod.algoquant.model.strategy.rebalance
 
com.numericalmethod.algoquant.model.util.frequency - package com.numericalmethod.algoquant.model.util.frequency
 
com.numericalmethod.algoquant.model.util.movingwindow - package com.numericalmethod.algoquant.model.util.movingwindow
 
com.numericalmethod.algoquant.model.util.price - package com.numericalmethod.algoquant.model.util.price
 
com.numericalmethod.algoquant.model.util.returns - package com.numericalmethod.algoquant.model.util.returns
 
com.numericalmethod.algoquant.model.volarb - package com.numericalmethod.algoquant.model.volarb
 
com.numericalmethod.algoquant.util - package com.numericalmethod.algoquant.util
 
com.numericalmethod.algoquant.util.annotation - package com.numericalmethod.algoquant.util.annotation
 
com.numericalmethod.algoquant.util.config - package com.numericalmethod.algoquant.util.config
 
com.numericalmethod.algoquant.util.sql - package com.numericalmethod.algoquant.util.sql
 
combine(PortfolioWeights<T>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.PortfolioWeights
 
CombinedCache<T1,T2> - Class in com.numericalmethod.algoquant.data.cache
This cache allows two instances of SequentialCache of possibly different types to by synchronized in a type-safe manner.
CombinedCache(SequentialCache<T1>, SequentialCache<T2>) - Constructor for class com.numericalmethod.algoquant.data.cache.CombinedCache
Creates a synchronized cache from two caches of two different types.
CombinedCache(SequentialCache<T1>, SequentialCache<T2>, boolean) - Constructor for class com.numericalmethod.algoquant.data.cache.CombinedCache
Creates a synchronized cache from two caches of two different types.
CombinedCache.Pair<T1,T2> - Class in com.numericalmethod.algoquant.data.cache
Represents a pair of values.
Commission - Class in com.numericalmethod.algoquant.execution.performance.measure
This measure computes the commission for the executions.
Commission(double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.Commission
Constructs an instance with a fixed commission rate.
CommissionProfitRatio - Class in com.numericalmethod.algoquant.execution.performance.measure
This measure computes the commission-profit ratio.
CommissionProfitRatio(double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.CommissionProfitRatio
Constructs an instance with a fixed commission rate.
commodity - Variable in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
commodity() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx.SGXFuturesContracts
 
COMPANY_NAME_NA - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
CompanyAccountingData - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Represents a company's (primitive/looked up) accounting data, often loaded from DB.
CompanyData - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Represents basic identity and status information of a company.
companyData() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanySnapshot
 
CompanyDB - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
The user access all company information from this DB.
CompanyFactor - Interface in com.numericalmethod.algoquant.model.factormodel.factor
A company factor is a factor that is company specific, e.g., HML, SMB.
CompanyHistoriesFilter - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Filters out those companies (and their histories) if they do not meet certain criteria, hence company filter.
CompanyHistoriesFilterImpl1 - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
This particular implementation is a convenience class that gathers some commonly used criteria for preprocessing company histories.
CompanyHistoriesFilterImpl1(Collection<CompanyMeasure>, Interval) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesFilterImpl1
 
CompanyHistoriesPredicateFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Filters a list of company histories based on a given predicate.
CompanyHistoriesPredicateFilter(Predicate<CompanyHistory>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesPredicateFilter
 
CompanyHistory - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
A company history is a time series of historical company information.
CompanyHistoryFilter - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory
Filters out entries in a CompanyHistory.
CompanyHistoryPredicateFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory
Filters CompanyHistory with predicates.
CompanyHistoryPredicateFilter(Predicate<TimedEntry<CompanySnapshot>>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.CompanyHistoryPredicateFilter
 
CompanyMeasure - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Given the primitive company data, i.e., those that cannot be computed but only looked up, e.g., price, earning, we can compute the composite measures, e.g, P/E.
CompanyMeasure() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasure
 
CompanyMeasureFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Filters companies that have measure values that are between bounds during a period of time.
CompanyMeasureFilter(Interval, double, double, CompanyMeasure, CompanyMeasureStatistic) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyMeasureFilter
 
CompanyMeasureStatistic - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Interface to calculate the statistic of a company's measure during a date range.
CompanyMeasureStatistics - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Some company measure statistic calculators.
companyName() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
companyName() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI.Component
 
companyName() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
companyName() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
companyName() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.Stock
Gets the company name.
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.CompanyPicker
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData.CompanyPicker
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData.CompanyPicker
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipTradingData.CompanyPicker
 
CompanySnapshot - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Gets the information, properties and measures of a company at a time point.
CompanyTradingData - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Represents a company's (primitive/looked up) trading data, often loaded from DB.
compare(YahooProperty, YahooProperty) - Method in enum com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooProperty
 
compare(Product, Product) - Method in class com.numericalmethod.algoquant.execution.datatype.product.ProductComparatorByName
 
compareTo(TimedEntry<?>) - Method in class com.numericalmethod.algoquant.data.cache.TimedEntry
 
CompositeFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Applies the given filters in the same order passed to the constructor.
CompositeFilter(CompanyHistoriesFilter...) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompositeFilter
 
CompositeStrategy - Class in com.numericalmethod.algoquant.execution.strategy.composite
A meta-strategy combining one or more sub-strategies.
CompositeStrategy(Map<String, ? extends Strategy>) - Constructor for class com.numericalmethod.algoquant.execution.strategy.composite.CompositeStrategy
 
CompositeStrategy(Map<String, ? extends Strategy>, boolean) - Constructor for class com.numericalmethod.algoquant.execution.strategy.composite.CompositeStrategy
 
CompustatAccountingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
Represents an accounting record from a Compustat accounting data file.
CompustatAccountingData(String, DateTime, CompustatAccountingData.PopulationSource, Currency, double, double, long, long, long, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
CompustatAccountingData.PopulationSource - Enum in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatCompanyData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
Represents a company record from a Compustat company data file.
CompustatCompanyData(String, String, String, String, Exchange, String, int, int, int, int, CompustatCompanyData.Status, DateTime, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
CompustatCompanyData.Status - Enum in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatCompanyHistory - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatCompanyHistory(CompanyData, SequentialCache<? extends CompanyTradingData>, SequentialCache<? extends CompanyAccountingData>) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyHistory
 
CompustatCompanyHistory(CompanyData, Iterable<TimedEntry<? extends CompanySnapshot>>) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyHistory
 
compustatID() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
compustatID() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
compustatID() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
CompustatSQL<T> - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatSQL(SQLParam, Interval, Period, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
 
CompustatSQLAccountingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
Constructs a database of company accounting information from an SQL server.
CompustatSQLAccountingData(SQLParam, Interval, Period) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLAccountingData
 
CompustatSQLCompanyData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
Constructs a database of company information from an SQL server.
CompustatSQLCompanyData(SQLParam, Interval, Period) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyData
 
CompustatSQLCompanyDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
Loads and combines data from {Company, Accounting, Trading} CompuStat data for a given exchange.
CompustatSQLCompanyDB(SQLParam, Interval, Period, double, double, double, double, double, double, LocalDate) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyDB
 
CompustatSQLRateCurve - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatSQLRateCurve(SQLParam) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLRateCurve
 
CompustatSQLSP500 - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatSQLSP500(SQLParam) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLSP500
 
CompustatSQLTradingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
Constructs a database of historical price information from an SQL server.
CompustatSQLTradingData(SQLParam, Interval, Period, double, double, double, double, double, double, LocalDate) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLTradingData
 
CompustatSQLUtils - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatSQLUtils.CompanyPicker<T> - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
For loading the accounting information for the given stocks.
CompustatSQLUtils.Filter<T> - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatSQLUtils.FiscalQuarter - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.sql
 
CompustatStock - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
Field "localcode" may be missing in Compustat data.
CompustatStock(String, Exchange, Currency, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
CompustatStock(Stock, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
CompustatStock(Stock) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
CompustatTradingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
Represents a price record from a Compustat price data file.
CompustatTradingData(String, Exchange, DateTime, long, double, double, double, double) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
CompustatUtils - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatZipAccountingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Constructs a database of company accounting information from a Compustat file.
CompustatZipAccountingData(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData
 
CompustatZipAccountingData.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
For loading the accounting information for the given stocks.
CompustatZipAccountingData.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Selects which company data will be used.
CompustatZipCompanyData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Constructs a database of company static information from a Compustat file.
CompustatZipCompanyData(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData
 
CompustatZipCompanyData.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
for loading the prices for the given stocks
CompustatZipCompanyData.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
 
CompustatZipCompanyDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Loads and combines data from {Company, Accounting, Trading} CAT CompuStat data files for a given exchange.
CompustatZipCompanyDB(Exchange, String, String, String, String[]) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyDB
Constructs a database from Compustat data files.
CompustatZipCompanyDB(Exchange, String, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyDB
 
CompustatZipTradingData - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Constructs a database of historical price information from a Compustat file.
CompustatZipTradingData(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipTradingData
 
CompustatZipTradingData.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
For loading the prices for a given stock.
CompustatZipTradingData.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat.zip
Selects which company data will be used.
compute(Trade) - Method in interface com.numericalmethod.algoquant.execution.performance.measure.pertradestats.PerTradeValue
 
compute(EmpiricalDistribution) - Method in interface com.numericalmethod.algoquant.execution.performance.measure.pertradestats.StatOnDistribution
 
compute(double, OptionChainData.OptionData, LocalDate) - Method in class com.numericalmethod.algoquant.model.breeden1978.ImpliedVolByBlackScholes
 
compute(double, OptionChainData.OptionData, LocalDate) - Method in interface com.numericalmethod.algoquant.model.breeden1978.ImpliedVolCalculator
 
compute(Vector, Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.BetaHedging
 
compute(Vector, Matrix, Vector) - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.IndexAwareOptimizer.IndexWeight
 
computeBasketRenewalTimes(MRSimParam) - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.MultiPeriodKagiMRStrategySim
 
computeMeasureAtInstant(RollingMeasure, List<Execution>, OrderBookCaches, DateTime) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureAtInstants(RollingMeasure, List<Execution>, OrderBookCaches, List<DateTime>) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureFromExecutionsOnly(RollingMeasure, List<Execution>) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureValue(RollingMeasure, List<Execution>, OrderBookCaches) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
Computes the value of a RollingMeasure instance by simulation of a given price series and a list of executions
computeMeasureValuePerTick(RollingMeasure, List<Execution>, OrderBookCaches) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureValueWithTickVisitor(RollingMeasure, List<Execution>, OrderBookCaches, PerformanceMeasure.TickVisitor) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
Computes the value of a RollingMeasure.
computePeriodReturns(Interval, Period, List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computePeriodReturnsCache(Interval, Period, List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computePositions(Map<T, Double>, Map<? super T, Double>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.Portfolio
Computes positions for the given prices and target dollar values.
computePrice(double, double) - Method in interface com.numericalmethod.algoquant.model.util.returns.ReturnsCalculator
Computes the next price after a return.
computePrice(double, double) - Method in enum com.numericalmethod.algoquant.model.util.returns.ReturnsCalculators
 
computeProfitCache(List<Execution>, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturn(double, double, double, ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingInformationRatio
 
computeReturn(double, double) - Method in interface com.numericalmethod.algoquant.model.util.returns.ReturnsCalculator
Computes the portfolio return.
computeReturn(double, double) - Method in enum com.numericalmethod.algoquant.model.util.returns.ReturnsCalculators
 
computeReturnsAtExecutions(List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturnsAtInstants(List<DateTime>, List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturnsCacheAtInstants(List<DateTime>, List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturnsPeriodically(DateTime, Period, int, List<Execution>, double, ReturnsCalculator, OrderBookCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorAccounting
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorCashflowPerMarketCap
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorCMA
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorEarningsPerMarketCap
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorGrowth
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorHML
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorMomentum
 
computeValue(CompanySnapshot, CompanySnapshot) - Method in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorRMW
 
conditionCodes() - Method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickData
 
confidence - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
CONFIG_FOLDER - Static variable in class com.numericalmethod.algoquant.util.config.AQConfig
the default name of the folder which hosts the configuration file
CONFIG_PROPERTY - Static variable in class com.numericalmethod.algoquant.util.config.AQConfig
The system property for defining the configuration file (via -Dconfig=<filename>).
configFileName() - Method in class com.numericalmethod.algoquant.util.config.AQConfig
 
ConfigProperties - Enum in com.numericalmethod.algoquant.util.config
Collections of common configuration properties in the config file.
ConfiguredFopFactory - Class in com.numericalmethod.algoquant.execution.report.pdf
Loads the configuration from the classpath.
ConfiguredFopFactory() - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.ConfiguredFopFactory
 
constituentsAt(DateTime) - Method in class com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300ConstituentsReader
 
construct(Map<String, String>) - Method in interface com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader.Map2Object
 
contains(T) - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
 
contains(Product) - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCaches
 
Content - Interface in com.numericalmethod.algoquant.execution.report.pdf.content
Marker interface for actual content, e.g.
content(ContentTemplate.ChartViewer, ProgressListener) - Method in interface com.numericalmethod.algoquant.execution.report.pdf.content.ContentTemplate
 
ContentGenerationException - Exception in com.numericalmethod.algoquant.execution.report.pdf.content
 
ContentGenerationException(Exception) - Constructor for exception com.numericalmethod.algoquant.execution.report.pdf.content.ContentGenerationException
 
ContentGenerationException(Exception) - Constructor for exception com.numericalmethod.algoquant.execution.report.pdf.content.ContentTemplate.ContentGenerationException
 
ContentTemplate - Interface in com.numericalmethod.algoquant.execution.report.pdf.content
Interface for classes that generate Contents, which may be assimilated into a structured document.
ContentTemplate.ChartViewer - Interface in com.numericalmethod.algoquant.execution.report.pdf.content
Receives each chart that was created and can choose to display it in whichever way it chooses.
ContentTemplate.ContentGenerationException - Exception in com.numericalmethod.algoquant.execution.report.pdf.content
 
ContentTree - Class in com.numericalmethod.algoquant.execution.report.pdf.content
 
ContentTree(Content) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.ContentTree
Constructs a new content tree with the given content.
context() - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
ContextPlotter - Class in com.numericalmethod.algoquant.execution.component.simulator
Updates the plots upon simulation events.
ContextPlotter(StrategyPlotter) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.ContextPlotter
 
contractMonth - Variable in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
ContractMonth - Enum in com.numericalmethod.algoquant.execution.datatype.product.derivative.futures
The reason for the seemingly confusing symbol letters is to avoid using the same symbols for the already existing commodities, e.g., 'S' for Soybeans, 'C' for Corn and so on.
ContractPicker<D extends Derivative> - Interface in com.numericalmethod.algoquant.execution.datatype.product.derivative
 
contractType - Variable in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
ContractType - Enum in com.numericalmethod.algoquant.execution.datatype.product.derivative
 
contractYear - Variable in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
convertSymbolsToYahooFormat(List<String>) - Static method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooAPIUtils
 
convertToYahooSymbol(String) - Static method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooAPIUtils
 
corr() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQTick
 
Corvalan2005Diversifier - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
Corvalan2005Diversifier(Corvalan2005, PortfolioOptimizationAlgorithm) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.Corvalan2005Diversifier
 
Corvalan2005Diversifier(PortfolioOptimizationAlgorithm, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.Corvalan2005Diversifier
 
count(Map<String, BufferCache<T>>) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.ArrayXYSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.OHLCSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.RangeBarSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.SimpleTimeSeriesXYSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.TimeSeriesAdaptor
 
Country - Enum in com.numericalmethod.algoquant.data.calendar
Country name and code.
country() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
The country that the exchange is located.
covEstimator - Variable in class com.numericalmethod.algoquant.model.portfoliooptimization.EstimatedMomentsAlgorithm
 
covPenalty() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
CreationException(String, Throwable) - Constructor for exception com.numericalmethod.algoquant.data.cache.SequentialCacheFactory.CreationException
Constructs an instance.
CrossFX - Class in com.numericalmethod.algoquant.execution.datatype.product.fx
This class helps construct cross rate from two FX instances.
CrossFX(FX, FX) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
CrossFX.PairArrangement - Enum in com.numericalmethod.algoquant.execution.datatype.product.fx
 
Crossover<D> - Class in com.numericalmethod.algoquant.model.signal.technical.crossover
Checks the crossover statuses of all pairs for a set of underlying double signals.
Crossover(DoubleSignal<D>...) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.crossover.Crossover
 
Crossover.Signal - Class in com.numericalmethod.algoquant.model.signal.technical.crossover
 
Crossover.State - Enum in com.numericalmethod.algoquant.model.signal.technical.crossover
 
CSI300 - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.china
Loads information of CSI300 constituent stocks, according to Wikipedia.
CSI300() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.china.CSI300
 
CSI300ConstituentsReader - Class in com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300
 
CSI300ConstituentsReader(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300ConstituentsReader
 
CST - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
Central Standard Time
CSVCacheLoader<T> - Class in com.numericalmethod.algoquant.data.historicaldata.csv
A tool for loading data of a product from any well-defined CSV file into a SequentialCache.
CSVCacheLoader(String, CSVCacheLoader.ColumnSpec) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader
 
CSVCacheLoader.ColumnSpec - Class in com.numericalmethod.algoquant.data.historicaldata.csv
 
CSVCacheLoader.DateTimeParser - Interface in com.numericalmethod.algoquant.data.historicaldata.csv
 
CSVCacheLoader.Map2Object<T> - Interface in com.numericalmethod.algoquant.data.historicaldata.csv
 
CSVCacheLoader.Processor - Interface in com.numericalmethod.algoquant.data.historicaldata.csv
 
ctsDescription() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQSaleCondition
 
cumulativeAdjustmentFactor() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
Currencies - Class in com.numericalmethod.algoquant.execution.datatype.product.fx
Contains some common currency instances for convenience.
currency() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
currency() - Method in class com.numericalmethod.algoquant.execution.component.broker.otc.SimpleOtcBond
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.commodity.ChinaCommodity
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.commodity.SGXCommodity
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.SimpleFutures
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.VanillaOption
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.fx.FXMajor
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFXProduct
 
currency() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.Product
Gets the reporting currency that this product is measured.
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleListedProduct
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleProduct
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
The default currency used for the product in this exchange.
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI.Component
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
currency() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
currency() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
currentBar() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Gets the bar to which the latest price update was added.
currentHigh() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Returns the bar with the highest price in the current period (the last period for which an update was received).
currentLow() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Returns the bar with the lowest price in the current period (the last period for which an update was received).
cusip() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
CustomFrequency - Class in com.numericalmethod.algoquant.model.util.frequency
Allows defining a frequency where consecutive periods are offset by a fixed period and the first period starts at a particular time.
CustomFrequency(DateTime, Period) - Constructor for class com.numericalmethod.algoquant.model.util.frequency.CustomFrequency
Constructs a new instance, where the first period starts at startDate and consecutive periods are offset by period length.

D

Dai2011HMMBootstrapFit - Class in com.numericalmethod.algoquant.model.dai2011.strategy
This class calibrates the parameters of a Dai2011HMM model using block bootstrapping estimation (PattonPolitisWhite2009).
Dai2011HMMBootstrapFit(double, int, int, boolean, long, Dai2011HMMBootstrapFit.RegimeDetection) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit(Dai2011HMMBootstrapFit.RegimeDetection) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit(Period, Period, Duration, Duration, double) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit(Period, double) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit() - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit(int, double) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
Dai2011HMMBootstrapFit.AverageCalibrationParam - Class in com.numericalmethod.algoquant.model.dai2011.strategy
 
Dai2011HMMBootstrapFit.RegimeDetection - Interface in com.numericalmethod.algoquant.model.dai2011.strategy
 
Dai2011LongOnly - Class in com.numericalmethod.algoquant.model.dai2011.strategy
Implementation of an optimal trend following trading strategy.
Dai2011LongOnly(Product, DateTime, Period, Period, int, double, double) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongOnly
 
Dai2011LongShort - Class in com.numericalmethod.algoquant.model.dai2011.strategy
Implementation of the optimal trend following trading strategy.
Dai2011LongShort(Product, DateTime, Period, Period, int, double, double) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongShort
 
Daily - Class in com.numericalmethod.algoquant.model.util.frequency
A daily frequency, starting at the defined time of the time zone defined by time and ending at the same time 24 hours later.
Daily(LocalTime) - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Daily
Constructs a new instance where the day starts at the given start time.
Daily() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Daily
Constructs a new instance where a day is defined to start at midnight.
DailyDataFileMakerApp<T> - Class in com.numericalmethod.algoquant.data.cache.util
Given a data cache, this class extracts one data point at a fixed hour each day, writes out the daily data to a file.
DailyDataFileMakerApp() - Constructor for class com.numericalmethod.algoquant.data.cache.util.DailyDataFileMakerApp
 
DailyDataFileMakerApp.RowMaker<T> - Interface in com.numericalmethod.algoquant.data.cache.util
Specifies how to convert a TimedEntry into a CsvZipRow.
DailyDataSampler<T> - Class in com.numericalmethod.algoquant.data.cache.processor.sampler
Samples the cache data at a particular time of a day.
DailyDataSampler(LocalTime) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.sampler.DailyDataSampler
Creates a new instance that samples at the given time of day.
dailyReturn() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
DailyTickDataCache<T> - Class in com.numericalmethod.algoquant.data.historicaldata.csv.tick
Given a data folder which stores the daily tick data files for a stock, this class reads them and creates a cache from the data files for the range specified.
DailyTickDataCache(String, Interval, DailyTickDataCache.FileNameFormatter, DailyTickDataCache.FileReaderFactory, DailyTickDataCache.CsvZipRowParser<T>) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataCache
 
DailyTickDataCache.CsvZipRowParser<T> - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
DailyTickDataCache.FileNameFormatter - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
DailyTickDataCache.FileReaderFactory - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
DailyTickDataFileSplitter<T extends Product> - Class in com.numericalmethod.algoquant.data.historicaldata.csv.tick
Given a folder of daily all-stocks-in-one files, it will, for each file, split into different per-stock tick data files organized by folders of their symbols.
DailyTickDataFileSplitter(File, File, Predicate<T>, DailyTickDataFileSplitter.CsvZipFileReaderFactory, DailyTickDataCache.CsvZipRowParser<T>, DailyTickDataFileSplitter.CsvZipFileWriterFactory, DailyTickDataFileSplitter.CsvZipRowMaker) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataFileSplitter
 
DailyTickDataFileSplitter.CsvZipFileReaderFactory - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
DailyTickDataFileSplitter.CsvZipFileWriterFactory - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
DailyTickDataFileSplitter.CsvZipRowMaker<T> - Interface in com.numericalmethod.algoquant.data.historicaldata.csv.tick
 
data() - Method in class com.numericalmethod.algoquant.data.cache.TimedEntry
Returns the data of this entry
data() - Method in class com.numericalmethod.algoquant.execution.component.context.SimpleTraderContext
 
data() - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext
Gets the historical data service.
data() - Method in class com.numericalmethod.algoquant.execution.performance.distribution.PerformanceDistribution
Get a raw, unsorted copy of the sample.
dataSource() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactoryStrategySimParam
 
dataWindow() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
date() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
date() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
date() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
date() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData.OptionData
 
DATE_FORMAT - Static variable in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
DATE_FORMATTER - Static variable in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PanelDataPrices
The date format used by this class.
DayCloseRepairer<T> - Class in com.numericalmethod.algoquant.data.cache.processor
This cache cleans the data to make sure that there is at least one update between the given closing time and the start of the next day, for any day on which there is data.
DayCloseRepairer(LocalTime, LocalTime) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.DayCloseRepairer
Constructs a new instance which inserts an update if data is missing from the closing time to the start of the next day, as defined by the parameters.
DayOfWeek - Enum in com.numericalmethod.algoquant.data.calendar
Type-safe day-of-week constants (instead of integers).
days(int, TraderContext.Data.Eod.Field) - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext.Data.Eod
The EOD data for a given number of consecutive trading days (including today's EOD if the current time is after the market close).
db - Variable in class com.numericalmethod.algoquant.util.sql.SQLParam
 
decode(String) - Static method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQSaleCondition
 
DedicatedEvents - Enum in com.numericalmethod.algoquant.execution.component.simulator.event
 
DEFAULT_ACCOUNT_DATE_OFFSET - Static variable in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorAccounting
 
DEFAULT_CONFIG_FILENAME - Static variable in class com.numericalmethod.algoquant.util.config.AQConfig
the default configuration file name
DEFAULT_DATA_FOLDER - Static variable in class com.numericalmethod.algoquant.execution.simulation.template.SimTemplateYahooEOD
 
DEFAULT_EPSILON - Static variable in class com.numericalmethod.algoquant.model.breeden1978.ImpliedVolByBlackScholes
 
DEFAULT_EPSILON - Static variable in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
DEFAULT_H_GRANULARITY - Static variable in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRModelKagiFactory
 
DEFAULT_HOLIDAYS_CACHE_FOLDER_NAME - Static variable in class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromDB
The default cache folder for holiday data.
DEFAULT_MARKET_DATE_OFFSET - Static variable in class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorAccounting
 
DEFAULT_MAX_ITERATIONS - Static variable in class com.numericalmethod.algoquant.model.breeden1978.ImpliedVolByBlackScholes
 
DEFAULT_MAX_LAMBDA - Static variable in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
DEFAULT_MIN_LAMBDA - Static variable in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
DEFAULT_OUT_DIR - Static variable in class com.numericalmethod.algoquant.execution.report.SimulationResultsExporter
The default output directory.
DEFAULT_VOLATILITY_UPPER_LIMIT - Static variable in class com.numericalmethod.algoquant.model.breeden1978.ImpliedVolByBlackScholes
 
defaultConfig() - Static method in class com.numericalmethod.algoquant.util.config.AQConfig
 
defaultInitialCapital() - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
defaultObjectiveFunction(Vector) - Static method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasketFinder
 
defaultPortfolioOptimizationAlgorithmFactory() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
non-static so it can read the param information, e.g., risk parameter, constraints, etc.
defaultRebalanceFreq() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
defaultReturnsCalculator() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
defaultTransactionFeeRate() - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
definedCurrencies() - Method in interface com.numericalmethod.algoquant.execution.datatype.fxrate.ExchangeRateTable
Gets the already defined currencies in the exchange rate table.
definedCurrencies() - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.NoRateTable
 
definedCurrencies() - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.SimpleExchangeRateTable
 
DelistedCompanyFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Filters out those companies which have been delisted on or before a given date.
DelistedCompanyFilter() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.DelistedCompanyFilter
Constructs an instance for filtering out any currently delisted companies.
DelistedCompanyFilter(DateTime) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.DelistedCompanyFilter
Constructs an instance for filtering out companies that have been delisted on or before a given date.
delistedDate() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
delistedDate() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyData
 
delivery() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.Futures
 
delivery() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.SimpleFutures
 
delta() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
delta(Execution) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingPositionSingleAsset
 
DEMA - Class in com.numericalmethod.algoquant.model.signal.technical.movingaverage
Double-exponential moving average.
DEMA(double, double) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.DEMA
 
Demo - Annotation Type in com.numericalmethod.algoquant.util.annotation
Annotates runnable demo programs.
denomination() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx.SGXFuturesContracts
 
deposit(double) - Method in class com.numericalmethod.algoquant.execution.component.cash.CashTracker
Deposits some cash.
Derivative - Interface in com.numericalmethod.algoquant.execution.datatype.product.derivative
 
description() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQExchangeSymbol
 
description() - Method in enum com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooProperty
 
description() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.commodity.ChinaCommodity
 
description() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.commodity.SGXCommodity
 
description() - Method in enum com.numericalmethod.algoquant.execution.performance.measure.PerformanceMeasureFactories
 
description() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.Factor.FactorDescription
 
description() - Method in enum com.numericalmethod.algoquant.model.factormodel.factor.Factors
 
descriptions() - Static method in enum com.numericalmethod.algoquant.execution.performance.measure.PerformanceMeasureFactories
 
dimension() - Method in class com.numericalmethod.algoquant.data.cache.VectorCache
Gets the dimension of the vector cache, i.e., the number of underlying SequentialCaches.
dimension() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
dimensionOfDomain() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPLowerLimit
 
dimensionOfDomain() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUnity
 
dimensionOfDomain() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUpperLimit
 
dimensionOfRange() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPLowerLimit
 
dimensionOfRange() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUnity
 
dimensionOfRange() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUpperLimit
 
dispatch() - Method in class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
dispatch() - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.MarketComponent
 
dispatch(ChannelMessage) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher.ChannelMessageDispatcher
Dispatches a ChannelMessage to the appropriate handler.
dispatch(ChannelMessage) - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher.SimpleChannelMessageDispatcher
 
dispatch(ChannelMessage) - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.dispatcher.SynchronizedDepthDispatcher
 
dispatch() - Method in class com.numericalmethod.algoquant.execution.component.simulator.StrategyComponent
 
distinctStrikes(Function<List<OptionChainData.OptionData>, OptionChainData.OptionData>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
divideIntervals(Interval, Period) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.byperiod.PeriodByPeriodMeasureUtils
Divides a big interval into smaller intervals.
dividend() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.DividendData
 
DividendAdjustedProfitLoss - Class in com.numericalmethod.algoquant.execution.performance.measure
Computes the profit adjusted with dividend payout.
DividendAdjustedProfitLoss(List<DividendData>, RollingMeasureFactory) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.DividendAdjustedProfitLoss
 
DividendAdjustedRollingProfitLoss - Class in com.numericalmethod.algoquant.execution.performance.measure
Computes the rolling profit adjusted with dividend payout.
DividendAdjustedRollingProfitLoss(List<DividendData>, RollingMeasure, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.DividendAdjustedRollingProfitLoss
 
DividendData - Class in com.numericalmethod.algoquant.execution.datatype.product.stock
 
DividendData(LocalDate, Product, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.DividendData
 
dividendsConvention() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
DKK - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
DoubleDataTransformer<T> - Interface in com.numericalmethod.algoquant.data.cache.processor.transformer
Transforms data into double values.
DoubleDataTransformers - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
DoubleDataTransformers of some common input data types.
DoubleEntryCacheTransformer<T> - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
Transforms cache data into double values, without changing the timestamps of the cache entries.
DoubleEntryCacheTransformer(DataTransformer<T, Double>) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleEntryCacheTransformer
Creates a cache transformer with a given data transformer that transforms data items to double items.
DoubleEntryCacheTransformer() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleEntryCacheTransformer
Default transformer just returns Number.doubleValue() if the data item is an instance of Number, and returns null otherwise.
DoubleEntryCacheTransformers - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
DoubleEntryCacheTransformers of some common input data types.
DoubleParamPlotter - Class in com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter
Plots for the simple cases where the parameter values are Double.
DoubleParamPlotter() - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter.DoubleParamPlotter
 
DoubleSignal<D> - Interface in com.numericalmethod.algoquant.model.signal.timed
A TimedSignal which value is a Double.
download(String, Interval) - Method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataDownloader
Downloads for a given security the tick data of a given period.
download() - Method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooPropertyDownloader
Downloads from Yahoo! Finance the properties for the symbols.
DrawdownDistribution - Class in com.numericalmethod.algoquant.execution.performance.distribution
This is the distribution of P&L drawdowns.
DrawdownDistribution(List<Execution>, OrderBookCaches) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.DrawdownDistribution
 
DrawdownDistribution(List<Execution>, OrderBookCaches, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.DrawdownDistribution
 
DrawdownDurationDistribution - Class in com.numericalmethod.algoquant.execution.performance.distribution
This is the distribution of drawdown durations.
DrawdownDurationDistribution(List<Execution>, OrderBookCaches) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.DrawdownDurationDistribution
 
DrawdownDurationDistribution(List<Execution>, OrderBookCaches, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.DrawdownDurationDistribution
 
DropHeadFilter<T> - Class in com.numericalmethod.algoquant.data.cache.processor.filter
Drops the first n entries in a cache.
DropHeadFilter(int) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.filter.DropHeadFilter
Constructs a filter that filters out the first n items.
DynamicEventQueue - Class in com.numericalmethod.algoquant.execution.component.simulator
 
DynamicEventQueue(ChannelInput<TimedEntry<? extends Event>>, OrderBookCacheCollector) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
DynamicEventQueue.PriceSubscription - Class in com.numericalmethod.algoquant.execution.component.simulator
 
DynamicOHLC - Class in com.numericalmethod.algoquant.model.signal.technical.ohlc
Collects Open, High, Low and Close prices, as well as some timestamps.
DynamicOHLC() - Constructor for class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 

E

earliestDataDate() - Method in enum com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo.ExchangeHolidayCalendarSettings
Returns the earliest date in the calendar.
earnings() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
earnings() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyAccountingData
 
Earnings - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
The company earnings before depreciation.
Earnings() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Earnings
 
easterSunday(int, DateTimeZone) - Static method in class com.numericalmethod.algoquant.data.calendar.CalendarUtils
Gets the Easter Sunday in a year.
ECN - Enum in com.numericalmethod.algoquant.execution.datatype.product.fx
 
EconomicFactorModel - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation
 
EconomicFactorModel(List<Factor>, ReturnsCalculator, Period, Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.EconomicFactorModel
 
Elliott2005Strategy - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This prototype is implemented according to the original paper, well, more or less.
Elliott2005Strategy(List<? extends Product>, Elliott2005Strategy.Customization, int) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy
 
Elliott2005Strategy.Customization - Interface in com.numericalmethod.algoquant.model.elliott2005.strategy
 
EMA - Class in com.numericalmethod.algoquant.model.signal.technical.movingaverage
Exponential moving average.
EMA(double) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.EMA
Constructs an EMA instance.
EMA(int) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.EMA
Constructs an EMA instance with a default alpha.
EMAFactory() - Constructor for class com.numericalmethod.algoquant.model.signal.technical.movingaverage.RSI.EMAFactory
 
empty() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Empties the buffer.
EmptyHistoryFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Removes those CompanyHistorys that contain no data.
EmptyHistoryFilter() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.EmptyHistoryFilter
 
end() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the end of the buffer, i.e., the time of the last entry.
end() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBar
Gets the end time of the bar representation, inclusively.
enqueueEvent(TimedEntry<?>) - Method in class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
enqueueEventIterable(Iterable<? extends TimedEntry<? extends Event>>) - Method in class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
EntryDataCacheTransformer<T,U> - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
Transforms cache data of one type into another type, without changing the timestamps of the cache entries.
EntryDataCacheTransformer(DataTransformer<T, U>) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.EntryDataCacheTransformer
Creates an entry transformer with a given data transformer that transforms data enclosed in entry items.
entryLevel - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
entryPrice() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
entryPrice() - Method in interface com.numericalmethod.algoquant.execution.datatype.trade.Trade
 
entryTime() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
entryTime() - Method in interface com.numericalmethod.algoquant.execution.datatype.trade.Trade
 
eod(Product...) - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext.Data
Gets end-of-day data for given products.
EodProvider - Interface in com.numericalmethod.algoquant.execution.component.simulator.data
 
epsilon - Variable in class com.numericalmethod.algoquant.execution.strategy.StrategyOptimizer.Minimizer
 
equals(Object) - Method in class com.numericalmethod.algoquant.data.cache.TimedEntry
 
equals(Object) - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
 
equals(Object) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.SimpleFutures
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.VanillaOption
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
equals(FX, Object) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.FXUtils
A method that can be used by implementations of FX to do meaningful equality check.
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFX
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFXProduct
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleListedProduct
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleProduct
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasure
Instances from the same class are the same.
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.ExitAtZeroTradeCalculator
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.FIFOTradeCalculator
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.LIFOTradeCalculator
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.SimpleTradeCalculator
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.Alpha
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.AverageAnnualRateOfReturn
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.Beta
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.CalmarRatio
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.Commission
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.CommissionProfitRatio
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.decomposition.OrderTagExecutionFilter
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.decomposition.PartialPerformanceMeasure
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ExecutionCount
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForTrades
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForZeroInvestment
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.LinearlyCombinedPerformanceMeasure
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdown
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownDuration
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownPercentage
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxExposure
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaByOptionPricing
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaBySummation
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaForPeriods
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaForTrades
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.SharpeOmega
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitAfterTransactionFee
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLoss
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLossAfterCommission
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLossRealized
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitOverMaxExposure
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.SortinoRatio
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.TransactionFeeByContract
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.TransactionFeeByPercentage
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.WinLossRatio
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.performance.measure.WinLossSizeRatio
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParam
 
EqualWeightOptimizationAlgorithm - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
EqualWeightOptimizationAlgorithm() - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.EqualWeightOptimizationAlgorithm
 
EquiTimeSampler<T> - Class in com.numericalmethod.algoquant.data.cache.processor.sampler
Samples the data at these time points: offset, offset + period, offset + 2 * period, and so on.
EquiTimeSampler(DateTime, Period) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.sampler.EquiTimeSampler
Creates a sampler with a starting offset time and a sampling period.
EquiTimeSampler(Period) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.sampler.EquiTimeSampler
Creates a sampler with a given sampling period, the first entry indicates the starting offset.
Equity - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
The equity of a company = (assets - liabilities).
Equity() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Equity
 
ERR() - Method in class com.numericalmethod.algoquant.model.kst1995.GMA12
 
ERR4IID() - Method in class com.numericalmethod.algoquant.model.kst1995.GMA12
 
ERRLong() - Method in class com.numericalmethod.algoquant.model.kst1995.GMA12
 
EST - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
EST
EstimatedMomentsAlgorithm - Class in com.numericalmethod.algoquant.model.portfoliooptimization
Allows customization of the way we estimate means and covariances.
EstimatedMomentsAlgorithm() - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.EstimatedMomentsAlgorithm
 
estimateScale(MRBasket, int, double) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.ScaleEstimator
 
estimateScale(MRBasket, int, double, double) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.ScaleEstimator
 
estimateScale(MRBasket, int, double, double, int) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.ScaleEstimator
 
estimators() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
ETF - Interface in com.numericalmethod.algoquant.execution.datatype.product.etf
 
ETF.AssetClass - Enum in com.numericalmethod.algoquant.execution.datatype.product.etf
 
ETF.Category - Enum in com.numericalmethod.algoquant.execution.datatype.product.etf
 
ETF.Region - Enum in com.numericalmethod.algoquant.execution.datatype.product.etf
 
etfName() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
etfName() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
etfName() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
ETFSetUS1_1 - Enum in com.numericalmethod.algoquant.execution.datatype.product.etf
This is a trial tiny set of ETF hand picked by Takashi Ehara on 2016/7/7.
etsVolume - Variable in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
EUR - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Cashflow
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasure
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Earnings
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.Equity
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.MarketCap
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.PE
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.TradedPrice
 
evaluate(CompanyTradingData, CompanyAccountingData) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.TradedVolume
 
evaluate(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.measure.decomposition.OrderTagExecutionFilter
 
evaluate(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPLowerLimit
 
evaluate(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUnity
 
evaluate(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.constraints.SOCPUpperLimit
 
Event - Interface in com.numericalmethod.algoquant.execution.component.simulator.event
A marker interface for events which it is possible to subscribe to.
event() - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
eventClass() - Method in enum com.numericalmethod.algoquant.execution.component.simulator.message.handler.ChannelMessageHandlerFactories
 
eventClass() - Method in interface com.numericalmethod.algoquant.execution.component.simulator.message.handler.ChannelMessageHandlerFactory
Gets the Event class for this factory.
exceptions() - Method in exception com.numericalmethod.algoquant.util.MapOfExceptions
Gets the thrown exceptions during the batch simulation.
exchange() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
exchange() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
exchange() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQTick
 
exchange() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
exchange() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
exchange() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.ListedProduct
 
exchange() - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleListedProduct
 
exchange() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyTradingData
 
Exchange - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock
The market places for trading equities could be exchanges, mutual funds (MF), etc.
exchange() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI.Component
 
exchange() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
exchange() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
exchange() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
exchangeCodes() - Method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickData
 
exchangeDesignator() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
exchangeRateTable() - Method in class com.numericalmethod.algoquant.execution.component.context.SimpleTraderContext
 
ExchangeRateTable - Interface in com.numericalmethod.algoquant.execution.datatype.fxrate
An implementation of this interface maintains a list of currency exchange rates w.r.t a specified quote currency (or reference currency, price currency, payment currency).
exchangeRateTable() - Method in interface com.numericalmethod.algoquant.execution.simulation.setting.RepeatedSimSetting
 
exchangeRateTable() - Method in class com.numericalmethod.algoquant.execution.simulation.setting.SimSetting
 
exchangeRateTable() - Method in class com.numericalmethod.algoquant.execution.simulation.setting.SimTask
 
exchangeRateTable() - Method in class com.numericalmethod.algoquant.execution.simulation.template.composite.SimTemplateComposite
 
ExchangeRateTable.MissingRateException - Exception in com.numericalmethod.algoquant.execution.datatype.fxrate
 
exchanges() - Method in enum com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo.ExchangeHolidayCalendarSettings
Returns the exchanges that use this settings.
exDate() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.DividendData
 
Execution - Class in com.numericalmethod.algoquant.execution.datatype.execution
This class represents an execution record.
Execution(Product, BasicOrderDescription.Side, DateTime, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.execution.Execution
Deprecated.
for testing only; don't use directly
Execution(Order, DateTime, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.execution.Execution
Note that the actual transacted quantity and price may be different from what are specified in order, e.g., partial fill.
ExecutionBean - Class in com.numericalmethod.algoquant.execution.report.xml.bean
Synopsis of an execution.
ExecutionBean(Execution) - Constructor for class com.numericalmethod.algoquant.execution.report.xml.bean.ExecutionBean
 
ExecutionCount - Class in com.numericalmethod.algoquant.execution.performance.measure
Gets the number of executions generated by a strategy.
ExecutionCount() - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ExecutionCount
 
ExecutionHandler - Interface in com.numericalmethod.algoquant.execution.strategy.handler
Interface for a strategy to implement to listen to Execution updates in a simulation.
ExecutionParam<P extends Product> - Class in com.numericalmethod.algoquant.execution.strategy
 
ExecutionParam(List<P>, double, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<P>, double) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<P>) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<P>, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
executions(Product) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.MultiProductTradeBlotter
 
executions(Product) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.SingleProductTradeBlotter
 
executions(Product) - Method in interface com.numericalmethod.algoquant.execution.component.tradeblotter.TradeBlotter
Gets all executions for a given product.
Executions2CsvZipWriter - Class in com.numericalmethod.algoquant.execution.datatype.execution
Writes the contents of a list of executions to a csvzip file.
Executions2CsvZipWriter(ExecutionsTabulator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.execution.Executions2CsvZipWriter
Constructs a new instance, where the fields from the given tabulator are written.
ExecutionsTabulator - Class in com.numericalmethod.algoquant.execution.datatype.execution
Extracts information from a list of executions in an easily accessible format, which can then be printed.
ExecutionsTabulator(ExecutionsTabulator.Field...) - Constructor for class com.numericalmethod.algoquant.execution.datatype.execution.ExecutionsTabulator
Constructs a new instance where the given fields are tabulated (in the given order).
ExecutionsTabulator.Field - Enum in com.numericalmethod.algoquant.execution.datatype.execution
Defines a field thats value is extracted from an execution.
ExecutionsTabulator.Row - Class in com.numericalmethod.algoquant.execution.datatype.execution
Represents a row in the tabulated executions.
ExecutionXMLWriter - Class in com.numericalmethod.algoquant.execution.report.xml
Exports executions to an XML file.
ExecutionXMLWriter(Writer) - Constructor for class com.numericalmethod.algoquant.execution.report.xml.ExecutionXMLWriter
 
exerciseStyle() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
ExitAtZeroTradeCalculator - Class in com.numericalmethod.algoquant.execution.datatype.trade.calculator
A trade is counted when the position of the traded product becomes zero.
ExitAtZeroTradeCalculator() - Constructor for class com.numericalmethod.algoquant.execution.datatype.trade.calculator.ExitAtZeroTradeCalculator
 
ExitAtZeroTradeCalculator(double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.trade.calculator.ExitAtZeroTradeCalculator
 
exitLevel - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
exitPrice() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
exitPrice() - Method in interface com.numericalmethod.algoquant.execution.datatype.trade.Trade
 
exitTime() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
exitTime() - Method in interface com.numericalmethod.algoquant.execution.datatype.trade.Trade
 
expectedReturn(CAPM, double) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
expectedReturn(Stock, Collection<Factor>, Exposures, Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorUtils
 
expectedReturns(List<Stock>, Collection<Factor>, Exposures, Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorUtils
 
expectedReturns(Collection<Stock>, Collection<Factor>, Exposures, Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorUtils
 
expirationDate() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
expiry() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.derivative.option.Option
 
expiry(LocalDate) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
expiry() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData.OptionData
 
expiry() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.VanillaOption
 
export(PerformanceReport, File) - Method in class com.numericalmethod.algoquant.execution.performance.report.exporter.PerformanceReportCsvExporter
 
export(PerformanceReport, File) - Method in interface com.numericalmethod.algoquant.execution.performance.report.exporter.PerformanceReportExporter
Exports a performance report.
exposureEstimation() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.EconomicFactorModel
 
exposureEstimation() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.FundamentalFactorModel
 
exposureEstimation() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.estimation.PremiumExposureEstimation
 
ExposureEstimationOLS - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure
 
ExposureEstimationOLS(List<Factor>, Period, ReturnsCalculator, PremiumExposureEstimation.PremiumEstimation) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.ExposureEstimationOLS
 
ExposureEstimationSimpleLookup - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure
Gets exposure values simply by looking up company fundamentals.
ExposureEstimationSimpleLookup(List<Factor>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.ExposureEstimationSimpleLookup
 
ExposureEstimators - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression
A factor exposure is a stock's sensitivity to a market risk.
ExposureEstimators() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression.ExposureEstimators
 
ExposureRegression - Interface in com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression
A factor exposure is a stock's sensitivity to a market risk.
ExposureRegressionOLSImpl - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression
 
ExposureRegressionOLSImpl(List<Factor>, ReturnsCalculator, PremiumExposureEstimation.PremiumEstimation) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression.ExposureRegressionOLSImpl
 
Exposures - Interface in com.numericalmethod.algoquant.model.factormodel.qepm
A factor exposure is a stock's sensitivity to a market risk.
exposuresHistory() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategy
 
exposuresHistory() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.Results
 
extract(String, String, String) - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXCsvFilesExtractor
Unzip the csv files from the zipped files recursively.
extractLong(Portfolio<T>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioFactory
Extracts the long part of a given portfolio.
extractShort(Portfolio<T>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioFactory
Extracts the short part of a given portfolio.
extremum() - Method in class com.numericalmethod.algoquant.model.regime.TurningPoint
Gets the market regime.

F

Factor - Interface in com.numericalmethod.algoquant.model.factormodel.factor
The value for a factor.
factor() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam.PerturbedFactor
 
Factor.FactorDescription - Class in com.numericalmethod.algoquant.model.factormodel.factor
 
FactorAccounting - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
An accounting factor is computed from the company's accounting information at the market date, e.g., today, and at the last accounting date, both of which may be lagged.
FactorAccounting() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorAccounting
 
FactorAccounting(Period, Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorAccounting
 
FactorBenchmark - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.market
This factor is the return of the market benchmark.
FactorBenchmark(Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.market.FactorBenchmark
 
FactorBeta - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company
The market risk factor as in CAPM model, whose value is obtained via time-series regression from the historical monthly returns.
FactorBeta(int) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.FactorBeta
Constructs a beta factor for a given duration, e.g., 6-month beta.
FactorCashflowPerMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
 
FactorCashflowPerMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorCashflowPerMarketCap
 
FactorCMA - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
Conservative investment as in Fama-French five-factor model.
FactorCMA() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorCMA
 
FactorConsumerSentiment - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.market
TODO
FactorConsumerSentiment() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.market.FactorConsumerSentiment
 
FactorEarningsPerMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
 
FactorEarningsPerMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorEarningsPerMarketCap
 
FactorExcessBenchmark - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.market
This factor is the excess return of a market benchmark.
FactorExcessBenchmark(Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.market.FactorExcessBenchmark
 
FactorGrowth - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
Market-to-book ratio.
FactorGrowth() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorGrowth
 
FactorHML - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
Book-to-market ratio.
FactorHML() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorHML
 
FactorIntercept - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition
This factor will always has value of 1 and can hence be used as an the intercept in a regression, that is, alpha.
FactorIntercept() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.FactorIntercept
 
FactorLogMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company
Logarithm of market capitalization.
FactorLogMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.FactorLogMarketCap
 
FactorMeasure - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company
Gets the factor value by simply looking up the company fundamentals.
FactorMeasure(CompanyMeasure) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.FactorMeasure
 
FactorMomentum - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
FactorMomentum is defined as the asset's return in an earlier period of time, say, 6 months.
FactorMomentum(int, int) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorMomentum
 
FactorRanks - Class in com.numericalmethod.algoquant.model.factormodel.bucket
 
FactorRanks(int...) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.FactorRanks
 
FactorRanks(List<Integer>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.FactorRanks
 
FactorRanksBucketingAlgorithm<S extends Stock> - Class in com.numericalmethod.algoquant.model.factormodel.bucket
The bucketing method performs bucketing based on the ranks of the stocks in the factor rankings.
FactorRanksBucketingAlgorithm(List<Factor>, Map<Factor, Integer>, FactorValueLookup, StockBucketingAlgorithm.BucketSizeAllocation) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.FactorRanksBucketingAlgorithm
Constructs an instance that buckets stocks based on the ranks of the stocks in each factor ranking.
FactorRanksBucketingAlgorithm(List<Factor>, Map<Factor, Integer>, FactorValueLookup) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.FactorRanksBucketingAlgorithm
 
FactorRiskFreeRate - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.market
This factor is the risk free rate in the market.
FactorRiskFreeRate() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.market.FactorRiskFreeRate
 
FactorRMW - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting
Operating profitability as in Fama-French five-factor model.
FactorRMW() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.accounting.FactorRMW
 
Factors - Enum in com.numericalmethod.algoquant.model.factormodel.factor
Define some factors whose constructors need arguments.
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMap
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMarketSnapshots
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression.ExposureEstimators
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PremiumEstimatorsPerturbed
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PremiumsEstimators
 
factors() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.Exposures
Gets the set of factors that this collection of exposures know about.
factors() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.Premiums
Gets the set of factors that this collection of premiums know about.
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.PremiumsComposite
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.PremiumsMapImpl
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
FactorSize - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company
Market capitalization.
FactorSize() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.FactorSize
 
FactorSMB - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.company
1/Market capitalization.
FactorSMB() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.company.FactorSMB
 
FactorStrategy - Class in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
A factor strategy or a factor based dynamic portfolio at times estimates the exposures and premiums for factors and stocks computes the expected returns and covariance matrix runs a portfolio optimization algorithm re-balances the assets to achieve optimal weighting
FactorStrategy(FactorStrategyParam) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategy
 
FactorStrategyParam - Class in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
FactorStrategyParam(List<Factor>, Period, double, PremiumExposureEstimation) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
FactorStrategyParam.PerturbedFactor - Class in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
FactorStrategyParam.PortfolioOptimizationAlgorithmFactory - Interface in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
Given all the information, e.g., product list, constraints, it constructs the portfolio optimizer to solve the problem.
FactorStrategyParam.StockFilter - Class in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
FactorUnemployment - Class in com.numericalmethod.algoquant.model.factormodel.factor.definition.market
TODO
FactorUnemployment() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.definition.market.FactorUnemployment
 
FactorUtils - Class in com.numericalmethod.algoquant.model.factormodel.factor
 
FactorValueLookup - Interface in com.numericalmethod.algoquant.model.factormodel.factor
Looks up the value of a factor of a stock at a particular time, i.e., (factor, stock, value)_t.
FactorValueLookupByMap - Class in com.numericalmethod.algoquant.model.factormodel.factor
A data structure to store, for each stock, the factor values.
FactorValueLookupByMap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMap
 
FactorValueLookupByMarketSnapshots - Class in com.numericalmethod.algoquant.model.factormodel.factor
Evaluates, for each stock, the factor values from market snapshots at a specified time.
FactorValueLookupByMarketSnapshots(Collection<Factor>, DateTime, RandomAccessCache<MarketSnapshot>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMarketSnapshots
Constructs a factor-value lookup from a market history for a particular time, i.e., (stock, factor, value)_t.
Factory() - Constructor for class com.numericalmethod.algoquant.execution.component.broker.otc.SimpleOtcBondBroker.Factory
 
Factory() - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.Factory
 
FactoryCache2ReturnsMatrix<P extends Product> - Class in com.numericalmethod.algoquant.data.cache.util
Converts multiple data caches constructed by a given factory into a matrix of their returns.
FactoryCache2ReturnsMatrix(OrderBookCacheFactory<P>, List<P>, Interval) - Constructor for class com.numericalmethod.algoquant.data.cache.util.FactoryCache2ReturnsMatrix
Combines multiple caches of product prices into a matrix of log-returns.
FactoryCache2ReturnsMatrix(OrderBookCaches) - Constructor for class com.numericalmethod.algoquant.data.cache.util.FactoryCache2ReturnsMatrix
Convert a OrderBookCaches into a matrix of log-returns.
FactoryStrategySimParam - Class in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
FactoryStrategySimParam(FactoryStrategySimParam.DataSource, Interval) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactoryStrategySimParam
 
FactoryStrategySimParam(FactoryStrategySimParam.DataSource, Interval, double, double, double, double, double, double) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactoryStrategySimParam
 
FactoryStrategySimParam.DataSource - Enum in com.numericalmethod.algoquant.model.factormodel.qepm.strategy
 
fastLag() - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2.Param
 
FatMiddleAllocation - Class in com.numericalmethod.algoquant.model.factormodel.bucket
This algorithm assigns more items to the middle buckets than the extreme buckets.
FatMiddleAllocation() - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.FatMiddleAllocation
 
feeForExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.measure.transactionfee.NoTransactionFee
 
feeForExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.measure.transactionfee.PercentageTransactionFeeScheme
 
feeForExecution(Execution) - Method in class com.numericalmethod.algoquant.execution.performance.measure.transactionfee.PerContractTransactionFeeScheme
 
feeForExecution(Execution) - Method in interface com.numericalmethod.algoquant.execution.performance.measure.transactionfee.TransactionFeeScheme
Computes the transaction fee for an execution.
fieldNames() - Method in class com.numericalmethod.algoquant.execution.datatype.execution.ExecutionsTabulator
Gets a list of the names of all fields.
fields() - Method in class com.numericalmethod.algoquant.execution.datatype.execution.ExecutionsTabulator.Row
Gets the fields that are in this row.
FIFOTradeCalculator - Class in com.numericalmethod.algoquant.execution.datatype.trade.calculator
A trade is counted when the net position is decreased, and the first unclosed entry execution is used to match the exit execution.
FIFOTradeCalculator() - Constructor for class com.numericalmethod.algoquant.execution.datatype.trade.calculator.FIFOTradeCalculator
 
FileBufferQueue<T> - Class in com.numericalmethod.algoquant.data.historicaldata.taq
An abstract buffer which loads data from multiple data files, starting with the first file passed to the constructor, then in the order defined by FileBufferQueue.nextFile(java.lang.String).
FileBufferQueue(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.taq.FileBufferQueue
 
FileSplitterApp - Class in com.numericalmethod.algoquant.util
Split a large file into many smaller files, line by line.
FileSplitterApp() - Constructor for class com.numericalmethod.algoquant.util.FileSplitterApp
 
Fill - Class in com.numericalmethod.algoquant.execution.datatype.execution
 
Fill(double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.execution.Fill
 
fill(double) - Method in class com.numericalmethod.algoquant.execution.datatype.order.Order
 
filledQuantity() - Method in class com.numericalmethod.algoquant.execution.datatype.order.Order
 
fillOrder(OrderBook, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.AlwaysFillModel
 
fillOrder(OrderBook, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliFillModel
 
fillOrder(OrderBook, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliPartialFillModel
 
fillOrder(OrderBook, Order) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.LimitOrderFillModel
 
fillOrder(DateTime, Execution) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.MarketComponent.MarketOperator
 
fillOrder(DateTime, Execution) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.market.MarketOperator
 
filter(Function<TimedEntry<T>, Boolean>) - Method in interface com.numericalmethod.algoquant.data.cache.SequentialCache
Filters entries by a given predicate.
filter(Predicate<OptionChainData.OptionData>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
filter(Collection<CompanyHistory>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesFilterImpl1
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesPredicateFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyMeasureFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompositeFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.DelistedCompanyFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.EmptyHistoryFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.InvalidMeasureValuesFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.NewCompanyFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.NoPriceFilter
 
filter(Collection<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.SmallCapFilter
 
filter(CompanyHistory) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.CompanyHistoryFilter
 
filter(CompanyHistory) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.CompanyHistoryPredicateFilter
 
filter(CompanyHistory) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.NoNaNFilter
 
filter(CompanyHistory) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.NoNaNOrInfFilter
 
filter(CompanyHistory) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.NotAllNaNFilter
 
filterOrders(Collection<Order>, Predicate<Order>) - Static method in class com.numericalmethod.algoquant.execution.datatype.order.OrderUtils
Filters orders using a predicate, that means, only the orders that evaluate the predicate to true are kept in the output.
filterOutSmallOrders(Collection<Order>, double) - Static method in class com.numericalmethod.algoquant.execution.datatype.order.OrderUtils
Filters out orders of small sizes.
findBaskets(List<String>, int, int) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRMultiBasketFinder
 
findBestModel(MRBasket) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRModelKagiFactory
 
findCacheFile(String, Exchange) - Static method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
Finds a holiday data file of an exchange in a given folder.
findClusters(List<String>) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.ClusterFinder
 
findLargestCluster(List<String>) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.ClusterFinder
 
findMRBasket(List<String>, int) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasketFinder
 
findMRBasket(List<String>, int, double) - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasketFinder
 
findOptimalParams(Interval, OrderBookCaches, ExchangeRateTable, Vector...) - Method in class com.numericalmethod.algoquant.execution.strategy.StrategyOptimizer
Finds the parameters to optimize the strategy's performance.
firstDay() - Method in class com.numericalmethod.algoquant.model.util.frequency.Weekly
Gets the day where a week starts.
firstEntry() - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
firstEntry() - Method in interface com.numericalmethod.algoquant.data.cache.RandomAccessCache
 
firstEntry(SequentialCache<T>) - Static method in interface com.numericalmethod.algoquant.data.cache.SequentialCache
Determines the first entry of the given cache or null if the cache is entry.
firstEntry() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the first entry in the buffer.
firstEntry() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
firstTime() - Method in class com.numericalmethod.algoquant.model.util.frequency.Weekly
Gets the time where a day starts.
firstTimestamp() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
firstTimestamp() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
 
FiscalQuarter(LocalDate) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.FiscalQuarter
 
fiscalYearDate() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
fiscalYearDate() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyAccountingData
 
fit(Dai2011HMM, List<TimedEntry<Double>>) - Method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
Calibrates the parameters in the Dai2011HMM model using block bootstrapping estimation (PattonPolitisWhite2009).
fitOnePath(List<TimedEntry<Double>>, double[], Dai2011HMMBootstrapFit.RegimeDetection, Dai2011HMMBootstrapFit.AverageCalibrationParam) - Method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit
 
FixedSpreadOrderBookTransformer - Class in com.numericalmethod.algoquant.execution.datatype.orderbook.cache
 
FixedSpreadOrderBookTransformer(double, FixedSpreadOrderBookTransformer.Type) - Constructor for class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.FixedSpreadOrderBookTransformer
 
FixedSpreadOrderBookTransformer.Type - Enum in com.numericalmethod.algoquant.execution.datatype.orderbook.cache
 
flipSides(List<BasicOrderDescription.Side>) - Static method in interface com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010Orders
Flips the order sides to the opposite.
Font - Class in com.numericalmethod.algoquant.execution.report.pdf.content.text
 
Font(int, String, String) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.text.Font
 
FOP_FACTORY - Static variable in class com.numericalmethod.algoquant.execution.report.pdf.ConfiguredFopFactory
a configured FopFactory
FopContentWriter - Class in com.numericalmethod.algoquant.execution.report.pdf
Uses Apache's FOP to write ContentTree to a PDF file.
FopContentWriter(OutputStream) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.FopContentWriter
Constructs a new instance that writes to an OutputStream.
FopContentWriter(File) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.FopContentWriter
Constructs a new instance that writes to a file.
FopContentWriter(String) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.FopContentWriter
Constructs a new instance that writes to a file.
forceUpdate() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
By default, the updates that are counted are determined by update frequency.
forDoubleValues(String, double...) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
 
forExchange(Exchange) - Static method in enum com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo.ExchangeHolidayCalendarSettings
Looks up the calendar settings of a given exchange.
forExchange(Exchange) - Static method in class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo
Looks up the HolidayCalendarFromYahoo for a given exchange.
forIntValues(String, int...) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
 
forLongValues(String, long...) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
 
format(LocalDate) - Method in interface com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataCache.FileNameFormatter
 
formatExecutionsInTabularForm(List<Execution>) - Static method in class com.numericalmethod.algoquant.util.AQUtils
 
formatFileName(Exchange, Interval) - Static method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
Gives a formatted file name of a data file.
formatOrder(Order) - Static method in class com.numericalmethod.algoquant.execution.datatype.order.OrderUtils
 
formatOrders(Collection<? extends Order>) - Static method in class com.numericalmethod.algoquant.execution.datatype.order.OrderUtils
 
formatTradesInTabularForm(List<Trade>) - Static method in class com.numericalmethod.algoquant.util.AQUtils
 
forProducts(DateTime, List<Product>) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.data.EodProvider
 
forProducts(DateTime, List<Product>) - Method in class com.numericalmethod.algoquant.execution.component.simulator.data.YahooEodProvider
 
forRight(OptionChainData.OptionRight) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
forTrueFalse(String) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
 
forValues(String, Object...) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
 
forValues(String, Collection<?>) - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParamFactory
Assigns multiple (M) values for a given parameter name, combined with each of the existing (N) NamedParams, therefore generating (MxN) NamedParams.
fqtr() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.FiscalQuarter
 
frequency() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBar
Gets the bar chart type.
frequency() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBars
Gets the bar chart type.
Frequency - Interface in com.numericalmethod.algoquant.model.util.frequency
Specifies a way of partitioning time by period.
fromSequentialCache(SequentialCache<T>) - Static method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
FrontContractPicker<D extends Derivative> - Class in com.numericalmethod.algoquant.execution.datatype.product.derivative.futures
 
FrontContractPicker(Derivative) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.FrontContractPicker
 
FundamentalFactorModel - Class in com.numericalmethod.algoquant.model.factormodel.qepm.estimation
 
FundamentalFactorModel(List<Factor>, ReturnsCalculator, Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.FundamentalFactorModel
 
Futures - Interface in com.numericalmethod.algoquant.execution.datatype.product.derivative.futures
The contract type is always ContractType.FUTURES.
fw() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Evaluates \(E(w'r) - q * Var(w'r)\) at w_eff.
FX - Interface in com.numericalmethod.algoquant.execution.datatype.product.fx
 
FXMajor - Enum in com.numericalmethod.algoquant.execution.datatype.product.fx
The most traded pairs of currencies in the world are called the Majors.
FxOption - Class in com.numericalmethod.algoquant.execution.datatype.product.derivative.option
 
FxOption(String, FXProduct, ContractType, double, DateTime, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.FxOption
 
FXProduct - Interface in com.numericalmethod.algoquant.execution.datatype.product.fx
 
FxRateChainingAlgorithm - Class in com.numericalmethod.algoquant.execution.datatype.fxrate
Computes FX cross rates from a given set of known FX rates.
FxRateChainingAlgorithm(Map<String, Double>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.fxrate.FxRateChainingAlgorithm
 
FxRateChainingAlgorithm(Map<String, Double>, List<String>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.fxrate.FxRateChainingAlgorithm
 
FXUtils - Class in com.numericalmethod.algoquant.execution.datatype.product.fx
 
fyearq() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.FiscalQuarter
 

G

GainCapitalConverterApp - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
 
GainCapitalConverterApp() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalConverterApp
 
GainCapitalFXCacheFactory - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital
This is the data feed adapter for Gain Capital FX rate data.
GainCapitalFXCacheFactory(String, int) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXCacheFactory
 
GainCapitalFXCacheFactory(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXCacheFactory
Constructs a OrderBookCacheFactory for Gain Capital FX data.
GainCapitalFXCsvFilesExtractor - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
This class un-zips all raw files into one folder.
GainCapitalFXCsvFilesExtractor() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXCsvFilesExtractor
 
GainCapitalFXCsvZipFileReader - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital
This class reads the processed Gain Capital FX rate data in csv.zip format.
GainCapitalFXCsvZipFileReader(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXCsvZipFileReader
 
GainCapitalFXDailyCsvZipFileConverter - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
This class extracts a currency pair rate data from Gain Capital raw csv files into csv.zip files, one day per file.
GainCapitalFXDailyCsvZipFileConverter() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXDailyCsvZipFileConverter
 
GainCapitalFXFileUtils - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital
 
GainCapitalFXRawFile - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
This class reads the FX data from a Gain Capital csv file.
GainCapitalFXRawFile(File) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile
Read a Gain Capital FX rate file.
GainCapitalFXRawFile.Row - Class in com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess
This bean represents a row in a Gain-Capital FX rate csv file.
gamma() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
GBP - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
generate(List<OptionChainData.OptionData>, double, double, LocalDate, LocalDate) - Method in class com.numericalmethod.algoquant.model.breeden1978.OptionBasedRiskNeutralDistributionFactory
 
GenericParamPlotter<P> - Class in com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter
Plots the performance measures against the parameters used to generate them.
GenericParamPlotter(boolean) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.plotter.GenericParamPlotter
 
get(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
get(DateTime) - Method in interface com.numericalmethod.algoquant.data.cache.RandomAccessCache
Gets the time entry just before or equal to the specified time.
get(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the first item indexed by time.
get(int) - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
Gets the i-th element in the data.
get(SequentialCache<T>) - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
Gets the element associated with a cache.
get(DateTime) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
get(DateTime) - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.OHLCBars
Gets the OHLC bar that the timestamp belongs to.
get(DateTime) - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.RangeBars
 
get(int) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowBySize
 
getAdjClose(ListedProduct, DateTime, DateTime) - Static method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooOrderBookCacheFactory
 
getAllCompanyData() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData
 
getAllCompanyHistories() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyDB
 
getAllCompanyHistories() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyDB
 
getAllCompanyHistories() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyDB
 
getAllCompanySnapshots() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
getAllCompustatIDs() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData
 
getAllFactorDefinitions() - Static method in interface com.numericalmethod.algoquant.model.factormodel.factor.Factor
 
getAllIDs() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
 
getAllPrices() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
getAllProducts() - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
getAllStocks() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistory
 
getAllStocks() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
getAllSymbols() - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
getAverager(int) - Method in interface com.numericalmethod.algoquant.model.signal.technical.movingaverage.RSI.AveragerFactory
 
getAverager(int) - Method in class com.numericalmethod.algoquant.model.signal.technical.movingaverage.RSI.EMAFactory
 
getAverager(int) - Method in class com.numericalmethod.algoquant.model.signal.technical.movingaverage.RSI.SMAFactory
 
getBeans(Collection<Execution>) - Static method in class com.numericalmethod.algoquant.execution.report.xml.bean.ExecutionBean
 
getBeans(String, Collection<PerformanceMeasure>, PerformanceReport) - Static method in class com.numericalmethod.algoquant.execution.report.xml.bean.PerformanceMeasureBean
 
getBeans(Collection<Product>) - Static method in class com.numericalmethod.algoquant.execution.report.xml.bean.ProductBean
 
getBestIRWeights(Matrix) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
Computes the best weights in terms of Sharpe Ratio, ignoring the risk parameter.
getBeta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
getBuckets(Collection<S>) - Method in class com.numericalmethod.algoquant.model.factormodel.bucket.FactorRanksBucketingAlgorithm
 
getBuckets(Collection<S>) - Method in interface com.numericalmethod.algoquant.model.factormodel.bucket.StockBucketingAlgorithm
Assigns a set of stocks to different buckets.
getBucketSizes(int, int) - Method in class com.numericalmethod.algoquant.model.factormodel.bucket.FatMiddleAllocation
 
getBucketSizes(int, int) - Method in interface com.numericalmethod.algoquant.model.factormodel.bucket.StockBucketingAlgorithm.BucketSizeAllocation
Gets the size of each bucket.
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in interface com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy.Customization
 
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundLongTermMeanConstantCoefficients
 
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
getBuyOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
getCache(Product) - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCaches
 
getCache(U, Interval) - Method in interface com.numericalmethod.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical.CacheProvider
 
getCache(Product, Interval) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.YahooCacheProvider
 
getCache(U, Interval) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.ZqfCacheProvider
 
getCachesTimes(OrderBookCaches) - Static method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCaches
Collects a list of the DateTimes of each OrderBookCaches in the cache.
getCacheTimes(SequentialCache<?>) - Static method in interface com.numericalmethod.algoquant.data.cache.SequentialCache
Collects a list of the DateTimes of each TimedEntry in the cache.
getCalibrationParam() - Method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit.AverageCalibrationParam
 
getCAPMFromCache(SequentialCache<CAPMUtils.Snapshot>) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromMonthlyPrices(List<Double>, List<Double>, List<Double>) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromMonthlyReturns(List<Double>, List<Double>, List<Double>) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromPremiums(double[], double[]) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
R_{i, t}-R_{rf, t} = alpha_i + beta_i * (R_{M, t} - R_{rf, t}) + e_{i, t} <=> Premium_{i, t} = alpha_i + beta_i * (Premium_{M, t}) + e_{i, t}
getCAPMFromReturns(List<Double>, List<Double>, List<Double>, int) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCompanyData(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyData
 
getCompanyData(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData
 
getCompanyHistories(String[]) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyDB
 
getCompanyHistories(String[]) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyDB
 
getCompanyHistories(String[]) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyDB
 
getCompanyHistories() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketTimeSeries
 
getCompanyHistory(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLCompanyDB
 
getCompanyHistory(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyDB
 
getCompanyHistory(String) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyDB
 
getCompanyHistory(Stock) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketTimeSeries
 
getCompanySnapshot(Stock) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
getCompustatID(String) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatUtils
 
getCompustatIDs(List<String>) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatUtils
 
getCompustatStock(String) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatUtils
 
getContractMonth(DateTime) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.FrontContractPicker
 
getCopy() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
getCovariances(Matrix) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.EstimatedMomentsAlgorithm
 
getCovariances(Matrix) - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.PortfolioOptimizationAlgorithm.CovarianceEstimator
 
getCrossFXProduct(FXProduct, FXProduct) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
getCrossRateCache(FXProduct, FXProduct, OrderBookCacheFactory<FXProduct>, OrderBookCacheFactory<FXProduct>, Interval) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
getCsvZipFileReader(File) - Method in interface com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataFileSplitter.CsvZipFileReaderFactory
 
getCsvZipFileWriter(String) - Method in interface com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataFileSplitter.CsvZipFileWriterFactory
 
getDayStart(DateTime) - Method in class com.numericalmethod.algoquant.util.OneDaySpan
 
getDistributions(Collection<PerformanceReport>, Collection<PerformanceMeasure>) - Static method in class com.numericalmethod.algoquant.execution.performance.distribution.PerformanceDistributionUtils
Computes the performance distributions for a collection of PerformanceMeasures from a collection of reports.
getDistributionsForMeasures(Collection<PerformanceReport>) - Static method in class com.numericalmethod.algoquant.execution.performance.distribution.PerformanceDistributionUtils
Computes the performance distributions for all the available PerformanceMeasures from a collection of performance reports.
getEnumValue(ETF, Class<E>) - Static method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
getEquiTimeMarketSnapshots(SequentialCache<MarketSnapshot>, DateTime, Period) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Gets those market snapshots at a number of fixings, e.g., portfolio rebalance times.
getExchange(String) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatUtils
 
getExchangeRate(Currency) - Method in interface com.numericalmethod.algoquant.execution.datatype.fxrate.ExchangeRateTable
Gets the exchange rate for a currency to the quote currency.
getExchangeRate(Currency) - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.NoRateTable
 
getExchangeRate(Currency) - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.SimpleExchangeRateTable
 
getExpiry(int, int) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx.SGXFutures
 
getExpiryDayOfMonth(int, int) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.FrontContractPicker
 
getExpiryDayOfMonth(int, int) - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx.SGXFuturesFrontContractPicker
 
getExposures(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.ExposureEstimationOLS
 
getExposures(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.ExposureEstimationSimpleLookup
 
getExposures(RandomAccessCache<MarketSnapshot>, DateTime, DateTime) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression.ExposureRegression
Computes the exposure for each factor/stock over a time-span of market history.
getExposures(RandomAccessCache<MarketSnapshot>, DateTime, DateTime) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.exposure.regression.ExposureRegressionOLSImpl
 
getExposures(DateTime, RandomAccessCache<MarketSnapshot>) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.estimation.PremiumExposureEstimation.ExposureEstimation
 
getFactor(String) - Static method in interface com.numericalmethod.algoquant.model.factormodel.factor.Factor
A factory to construct new instance of a Factor.
getFileName(String, int, int, int) - Static method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataFileUtils
Constructs a filename for the data downloaded for a given date of a given security.
getFilePathForDate(String, FXProduct, DateTime) - Static method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXFileUtils
 
getFormulaForPair(String, String) - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.FxRateChainingAlgorithm
 
getGroupId(CompanyData) - Method in enum com.numericalmethod.algoquant.model.factormodel.amp2008.ZeroCostPortfolioByFactorsFactory.GroupGranularity
 
getHolidays(LocalDate, LocalDate) - Method in interface com.numericalmethod.algoquant.data.calendar.HolidaySource
Gets the set of holidays during a period.
getHolidays(LocalDate, LocalDate) - Method in class com.numericalmethod.algoquant.data.calendar.YahooHolidaySource
 
getInstance() - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI
 
getInstance() - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.usa.GSPC
 
getInstance() - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.usa.VFINX
 
getInstance() - Static method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
getInvertedFX(FX) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.InvertedFXFactory
 
getInvertedPair(FX) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFX
 
getInvertedProduct(FXProduct) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.InvertedFXFactory
 
getInvertedRateCache(FXProduct, OrderBookCacheFactory<FXProduct>, Interval) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.InvertedFXFactory
 
getLast(int) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingTimes
Get the last i-th time stamp.
getLTid() - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile.Row
 
getMarketHistory(Interval, List<Stock>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.market.db.MarketDB
 
getMarketHistory(Interval) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.market.db.MarketDB
 
getMarketHistory() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.market.db.MarketDB
 
getMarketHistory(Interval, List<Stock>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.db.MarketDB_HK_Compustat
 
getMarketHistory(Interval, List<Stock>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.db.MarketDB_US_Compustat
 
getMarketValues(Interval) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLSP500
 
getMeanReturns(double[][]) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Computes a vector of mean returns of the input returns (one column for one asset).
getMeanReturns(Matrix) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Computes a vector of mean returns of the input returns (one column for one asset).
getMeans(Matrix) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.EstimatedMomentsAlgorithm
 
getMeans(Matrix) - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.PortfolioOptimizationAlgorithm.MeanEstimator
 
getMids() - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousBasketPrices
 
getNameValueMap() - Method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat.HolidayRow
 
getNameValueMap() - Method in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXCsvZipFile.SGXTickRow
 
getNameValueMap() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQFileReader.TAQRow
 
getNameValueMap() - Method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
getObjectiveFunction(Interval, OrderBookCaches, ExchangeRateTable) - Method in class com.numericalmethod.algoquant.execution.strategy.StrategyFunctionFactory
 
getObjectiveFunction(Interval, OrderBookCaches, ExchangeRateTable) - Method in class com.numericalmethod.algoquant.execution.strategy.StrategyOptimizer
 
getObjectiveFunction(Interval) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.performance.PerformanceOptimizedPortfolio
Gets the objective function for optimizing the strategy performance over a given time period.
getObjectiveValue(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SimpleSOCPPortfolio
Computes the objective function value.
getOnOrAfter(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the entry with the smallest time after or at the given time, or null if there is no such entry.
getOnOrBefore(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the entry with the biggest time before or at the given time, or null if there is no such entry.
getOptimalAllocation(double, double, double) - Method in class com.numericalmethod.algoquant.model.jurek2007.OULogSpreadCRRASignal
Gets the optimal allocation between the synthetic spread and the risk free asset.
getOptimalAllocation(double, double, double) - Method in class com.numericalmethod.algoquant.model.jurek2007.OUSpreadCRRASignal
Gets the optimal allocation between the synthetic spread and the risk free asset.
getOptimalRiskAversionCoefficient(double, double, double) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Gets the optimal risk aversion coefficient w.r.t.
getOptimalRiskAversionCoefficient() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Gets the optimal risk aversion coefficient w.r.t.
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.AboveIndexIRSelector
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.Corvalan2005Diversifier
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.EqualWeightOptimizationAlgorithm
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.IndexAwareOptimizer
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelFixedLambda
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.Lai2010OptimizationAlgorithm
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
 
getOptimalWeights() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Gets the Markowitz optimal portfolio weights, for a given risk aversion coefficient.
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.MarkowitzLedoitWolfOptimizationAlgorithm
 
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.MarkowitzOptimizationAlgorithm
 
getOptimalWeights(Interval) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.performance.PerformanceOptimizedPortfolio
 
getOptimalWeights(Matrix, Vector) - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.PortfolioOptimizationAlgorithm
Computes the optimal weights for the products using returns.
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.ReturnsBasedAssetSelector
 
getOptimalWeights() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SimpleSOCPPortfolio
Constructs an optimized portfolio by solving an SOCP problem.
getOptimalWeights(ConstrainedMinimizer<SOCPDualProblem, IterativeSolution<PrimalDualSolution>>) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SimpleSOCPPortfolio
Constructs an optimized portfolio by solving an SOCP problem.
getOptimalWeights(Matrix, Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.SOCPOptimizationAlgorithm
 
getOrderBookCaches(MarketHistory) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Constructs a OrderBookCaches from a given market history, including all stocks.
getOrderBookCaches(MarketHistory, Collection<Stock>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Constructs a OrderBookCaches from a given market history, including only the selected stocks.
getOrders(Infantino2010PCA.Signal, Infantino2010Regime.Regime, Map<Product, Double>, Map<Product, OrderBook>) - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010LongShortConstantValue
 
getOrders(Infantino2010PCA.Signal, Infantino2010Regime.Regime, Map<Product, Double>, Map<Product, OrderBook>) - Method in interface com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010Orders
Gets BUY/SELL orders based on the signals from Infantino2010PCA and Infantino2010Regime.
getPerformance(PerformanceMeasure) - Method in interface com.numericalmethod.algoquant.execution.performance.report.PerformanceReport
 
getPerformance(Product, PerformanceMeasure) - Method in interface com.numericalmethod.algoquant.execution.performance.report.PerformanceReport
 
getPerformances(PerformanceReport[], PerformanceMeasure) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulation
 
getPeriod() - Method in class com.numericalmethod.algoquant.execution.component.chart.OHLCSeriesAdaptor
 
getPeriod() - Method in class com.numericalmethod.algoquant.execution.component.chart.RangeBarSeriesAdaptor
 
getPeriodicInstants(Interval, Period) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils
 
getPortfolioReturns(Vector, Vector) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioUtils
Computes the expected portfolio return.
getPortfolioValue(Portfolio<T>, Map<T, Double>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioFactory
Computes the portfolio value.
getPortfolioVariance(Vector, Matrix) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioUtils
Computes the portfolio variance.
getPortfolioWeights(Map<T, Double>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.Lehmann1990Weighting
 
getPortfolioWeights(Map<P, Double>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.RankWeighting
 
getPortfolioWeights(Map<T, Double>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.TopBottomDivisionsEqualWeighting
 
getPortfolioWeights(Map<T, Double>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.Weighting
Computes the portfolio weights for the given products, each of which is associated with a priority.
getPositions(DateTime, TimerEvent, List<? extends Stock>, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategy
 
getPositions(DateTime, TimerEvent, List<? extends P>, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancePortfolio
Computes the asset positions in a portfolio.
getPositions(DateTime, TimerEvent, List<? extends T>, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.estimation.PremiumExposureEstimation.PremiumEstimation
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.PremiumEstimationFixedEffects
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.PremiumEstimationHybrid
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.PremiumEstimationMarketFactor
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.PremiumEstimationZeroPortfolio
 
getPremiums(RandomAccessCache<MarketSnapshot>, DateTime, DateTime) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PremiumRegression
Computes the premiums over a time-span of market history.
getPremiums(RandomAccessCache<MarketSnapshot>, DateTime, DateTime) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.regression.PremiumRegressionPanelImpl
 
getPremiums(DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.estimation.premiums.zeroinvestmentportfolio.PremiumByZeroInvestmentPortfolio
 
getPrices(PortfolioWeights<T>, Map<Product, OrderBook>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.PortfolioWeights
Gets the product prices from portfolio weights and a market condition.
getPrices(T) - Method in class com.numericalmethod.algoquant.model.util.price.PriceMatrix
 
getPricesFromReturns(double, double[], ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Gets the price series from a return series.
getPricesFromReturns(double, double[], List<DateTime>, ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Reconstructs a price time series from a return series.
getProperties(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooPropertyLoader
 
getRateAsk() - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile.Row
 
getRateBid() - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile.Row
 
getRateDateTime() - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile.Row
 
getRateForPair(String, String) - Method in class com.numericalmethod.algoquant.execution.datatype.fxrate.FxRateChainingAlgorithm
 
getRatesForMaturity(int, Interval) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLRateCurve
 
getRatesForMaturity(HKIBOR.Maturity) - Method in class com.numericalmethod.algoquant.data.historicaldata.hk.HKIBOR
 
getRef() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
Gets a reference to the window data.
getRef() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
Gets a reference to the window data.
getRef() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfSynchronousBasketPrices
 
getResponse(String, String) - Method in class com.numericalmethod.algoquant.data.google.GsheetAPIKey
 
getReturns(double[], double[], ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
 
getReturnsFromPrices(double[], ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Computes returns series from prices.
getReturnsFromPrices(List<TimedEntry<Double>>, ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Computes returns series from prices.
getReturnsMatrix(List<? extends Product>, Iterator<TimedEntry<MarketSnapshot>>, ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
 
getRiskAversionCoefficientForTargetReturn(double, double, double, int) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
 
getRiskAversionCoefficientForTargetVariance(double, double, double, int) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
 
getSectorIndicators(List<ETF>, Class<E>) - Static method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
getSectorIndicators(List<P>, Class<E>, BiFunction<P, Class<E>, E>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.ProductUtils
Gets the sector indicator vectors.
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in interface com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy.Customization
 
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundLongTermMeanConstantCoefficients
 
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
getSellOrders(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
getSharpeRatio(Vector, Vector, Matrix, double) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioUtils
Computes the portfolio Sharpe ratio.
getStocksFromFirstSnapshot(SequentialCache<MarketSnapshot>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Gets the stocks from the first market snapshot.
getString(String) - Method in class com.numericalmethod.algoquant.util.config.AQConfig
Gets a string associated with the given configuration key.
getString(String, String) - Method in class com.numericalmethod.algoquant.util.config.AQConfig
Gets a string associated with the given configuration key.
getSubPriceMatrix(List<T>) - Method in class com.numericalmethod.algoquant.model.util.price.PriceMatrix
 
getSymbols(List<Stock>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.StockUtils
 
getTag(String) - Method in class com.numericalmethod.algoquant.execution.datatype.order.BasicOrderDescription
Retrieves the tag at the given key.
getTAQTick() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQFileReader.TAQRow
 
getTimeSeries(Exchange, SQLParam, String, Object...) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils
 
getTrades(List<Execution>) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.ExitAtZeroTradeCalculator
 
getTrades(List<Execution>) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.FIFOTradeCalculator
 
getTrades(List<Execution>) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.LIFOTradeCalculator
 
getTrades(List<Execution>) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.SimpleTradeCalculator
 
getTrades(List<Execution>) - Method in interface com.numericalmethod.algoquant.execution.datatype.trade.calculator.TradeCalculator
Transforms a list of executions into a list of trades.
getTurningPoints(List<TimedEntry<Double>>) - Method in interface com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011HMMBootstrapFit.RegimeDetection
 
getTurningPoints(List<TimedEntry<Double>>) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>, Period, double) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>, Period, Period, Duration, Duration, double) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003v2
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>, Period, double) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003v2
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>, Period, Period, Duration, Duration, double) - Static method in class com.numericalmethod.algoquant.model.regime.PaganSossounov2003v2
Gets the turning points.
getTurningPoints(List<TimedEntry<Double>>, int, double) - Static method in class com.numericalmethod.algoquant.model.regime.Song2013
Gets the turning points.
getValue(Vector) - Method in interface com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold.Threshold
 
getValue(Vector) - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold.ThresholdConstant
 
getValue(Vector) - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.order.threshold.ThresholdStdev
 
getValues(String) - Method in class com.numericalmethod.algoquant.execution.component.recorder.TimedValueRecorder
 
getVectorReturnsFromPrices(double[][], ReturnsCalculator) - Static method in class com.numericalmethod.algoquant.model.util.returns.ReturnsUtils
Computes returns for a 2D array of prices (one column for one asset), with the given ReturnsCalculator.
getWeightsForMinReturns(Vector, Matrix, double) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given a minimum guaranteed target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu \geq \mu*, w'1 = 1 \] Short selling is possible.
getWeightsForMinReturnsNoShortSelling(Vector, Matrix, double) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given the minimum allocation weights, and a minimum guaranteed target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu \geq \mu*, w'1 = 1, w \geq 0 \] There is no short selling.
getWeightsForMinReturnsWithMinimumWeights(Vector, Matrix, double, Vector) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given the minimum allocation weights, and a minimum guaranteed target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu \geq \mu*, w'1 = 1, w \geq w_{min} \]
getWeightsForTargetReturn(Vector, Matrix, double) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given a target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu = \mu*, w'1 = 1 \] Short selling is possible.
getWeightsForTargetReturnNoShortSelling(Vector, Matrix, double, Vector) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given the minimum allocation weights, and a minimum guaranteed target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu = \mu*, w'1 = 1, w \geq w_{min} \] And, there is no short selling.
getWeightsForTargetReturnWithMinimumWeights(Vector, Matrix, double, Vector) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzUtils
Given the minimum allocation weights, and a minimum guaranteed target value μ* for the mean return of a portfolio, Markowitz characterizes an efficient portfolio by its weight vector w_eff that solves the optimization problem: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu = \mu*, w'1 = 1, w \geq w_{min} \]
getWeightsHistory() - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical
 
getXLabel(T) - Method in interface com.numericalmethod.algoquant.execution.performance.plotter.MeanPerformancePlotter.XLabel
Gets the numeric x-axis label for a parameter.
GICSIndustry - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock
Global Industry Classification Standard (GICS) is an industry taxonomy developed by MSCI and Standard & Poor's (S&P) for use by the global financial community.
GICSIndustryGroup - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock
Global Industry Classification Standard (GICS) is an industry taxonomy developed by MSCI and Standard & Poor's (S&P) for use by the global financial community.
GICSSector - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock
Global Industry Classification Standard (GICS) is an industry taxonomy developed by MSCI and Standard & Poor's (S&P) for use by the global financial community.
gicsSector() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.SectoredStock
 
gicsSector() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
GICSSubIndustry - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock
Global Industry Classification Standard (GICS) is an industry taxonomy developed by MSCI and Standard & Poor's (S&P) for use by the global financial community.
GMA12 - Class in com.numericalmethod.algoquant.model.kst1995
Describes the properties of the GMA(2, 1) strategy as in the reference.
GMA12(KnightSatchellTran1995) - Constructor for class com.numericalmethod.algoquant.model.kst1995.GMA12
 
GMT - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
GMT
gRule127() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQTick
 
GsheetAPIKey - Class in com.numericalmethod.algoquant.data.google
This class accesses a publicly available gsheet.
GsheetAPIKey(String, String) - Constructor for class com.numericalmethod.algoquant.data.google.GsheetAPIKey
 
GSPC - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.usa
^GSPC is an index, not an actual fund.
GSPC() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.usa.GSPC
 

H

H() - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRModelKagi
 
handle(ChannelMessage) - Method in class com.numericalmethod.algoquant.execution.component.simulator.event.stocksplit.StockSplitChannelMessageHandler
 
handle(ChannelMessage) - Method in interface com.numericalmethod.algoquant.execution.component.simulator.message.handler.ChannelMessageHandler
Handles a ChannelMessage.
handle(ChannelMessage) - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.handler.NoOpMessageHandler
 
handledBy(BrokerMessage.Handler) - Method in interface com.numericalmethod.algoquant.execution.component.broker.message.BrokerMessage
 
handledBy(BrokerMessage.Handler) - Method in class com.numericalmethod.algoquant.execution.component.broker.message.MessageAddOrder
 
handledBy(BrokerMessage.Handler) - Method in class com.numericalmethod.algoquant.execution.component.broker.message.MessageCancelOrder
 
handler - Static variable in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils
 
hashCode() - Method in class com.numericalmethod.algoquant.data.cache.TimedEntry
 
hashCode() - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
 
hashCode() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatStock
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.SimpleFutures
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.VanillaOption
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
hashCode(FX) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.FXUtils
Provides hashing corresponding to {FXUtils.equals(FX, Object).
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFX
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFXProduct
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleListedProduct
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.SimpleProduct
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasure
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleSectoredStock
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.SimpleStock
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.ExitAtZeroTradeCalculator
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.FIFOTradeCalculator
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.LIFOTradeCalculator
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.calculator.SimpleTradeCalculator
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.Alpha
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.AverageAnnualRateOfReturn
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.Beta
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.CalmarRatio
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.Commission
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.CommissionProfitRatio
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.decomposition.OrderTagExecutionFilter
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.decomposition.PartialPerformanceMeasure
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ExecutionCount
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForTrades
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForZeroInvestment
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.LinearlyCombinedPerformanceMeasure
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdown
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownDuration
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownPercentage
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.MaxExposure
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaByOptionPricing
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaBySummation
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaForPeriods
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.OmegaForTrades
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.omega.SharpeOmega
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitAfterTransactionFee
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLoss
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLossAfterCommission
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitLossRealized
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ProfitOverMaxExposure
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.SortinoRatio
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.TransactionFeeByContract
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.TransactionFeeByPercentage
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.WinLossRatio
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.performance.measure.WinLossSizeRatio
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.strategy.NamedParam
 
hasNext() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.FileBufferQueue
 
header() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQColumnHeader
 
HEADER_HOLIDAY - Static variable in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
The header in the data files.
HEADERS - Static variable in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
All headers.
headers() - Static method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataFileUtils
Returns the headers in the data file.
headers() - Static method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXFileUtils
 
headers() - Method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalFXRawFile
Get the column headers of the file.
Heading - Class in com.numericalmethod.algoquant.execution.report.pdf.content.text
A heading, with section numbers.
Heading(String) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.text.Heading
Constructs a new entry with an empty section.
Heading(String, List<Integer>) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.text.Heading
Constructs a new instance with the given heading.
high - Variable in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
high() - Method in class com.numericalmethod.algoquant.execution.datatype.OHLC
 
high() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
high(int) - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Gets the bar with the highest price over the given number of periods.
HighLows - Class in com.numericalmethod.algoquant.model.signal.technical.ohlc
Keeps track of the highest and lowest prices in OHLCBars over multiple periods of time.
HighLows(Frequency, Frequency, Frequency) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Constructs a new instance.
HighLows(Frequency, Frequency) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Constructs a new instance, keeping the OHLC bar information.
HighLows(Frequency) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Constructs a new instance, tracking the highs and lows at a certain frequency.
HKD - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
HKEXSector - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock.hkex
These are the sectors into which Hong Kong stocks are classified.
HKEXStock - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.hkex
 
HKEXStock(String) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HKEXStock
Deprecated.
HKIBOR - Class in com.numericalmethod.algoquant.data.historicaldata.hk
This class reads the Hong Kong InterBank Offered Rate data from the Excel file "T060301.xls" downloaded from the HKMA web site.
HKIBOR(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.hk.HKIBOR
 
HKIBOR(File) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.hk.HKIBOR
 
HKIBOR() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.hk.HKIBOR
 
HKIBOR.Maturity - Enum in com.numericalmethod.algoquant.data.historicaldata.hk
 
HoldingTimeDistribution - Class in com.numericalmethod.algoquant.execution.performance.distribution
Distribution of holding time.
HoldingTimeDistribution(List<Execution>, TradeCalculator) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.HoldingTimeDistribution
 
HoldingTimeDistribution(List<Execution>, TradeCalculator, HoldingTimeDistribution.TimeUnit) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.HoldingTimeDistribution
 
HoldingTimeDistribution.TimeUnit - Enum in com.numericalmethod.algoquant.execution.performance.distribution
 
holiday() - Method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat.HolidayRow
Returns the date of the holiday represented by this row.
HOLIDAY_ENTRY_FORMAT - Static variable in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
 
HolidayCalendar - Interface in com.numericalmethod.algoquant.data.calendar
A holiday calendar.
HolidayCalendarFromDB - Class in com.numericalmethod.algoquant.data.calendar
Provides holiday calendar.
HolidayCalendarFromDB(Exchange, HolidaySource, LocalDate) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromDB
Creates an instance for the given exchange, up to today.
HolidayCalendarFromDB(Exchange, HolidaySource, Interval) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromDB
Creates an instance for the given exchange, within the given time interval.
HolidayCalendarFromDB(Exchange, HolidaySource, Interval, String) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromDB
Creates an instance for the given exchange, within the given time interval.
HolidayCalendarFromYahoo - Class in com.numericalmethod.algoquant.data.calendar
Provides holiday calendar using Yahoo! Finance EOD data.
HolidayCalendarFromYahoo(Exchange, List<Stock>, LocalDate) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo
Constructs an instance for the given exchange, within the given time interval.
HolidayCalendarFromYahoo(Exchange, List<Stock>, Interval) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo
Constructs an instance for the given exchange, within the given time interval.
HolidayCalendarFromYahoo(Exchange, List<Stock>, Interval, String) - Constructor for class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo
Constructs an instance for the given exchange, within the given time interval.
HolidayCalendarFromYahoo.ExchangeHolidayCalendarSettings - Enum in com.numericalmethod.algoquant.data.calendar
Stock data are referenced to determine whether or not a weekday is a holiday.
HolidayCsvZipFileFormat - Class in com.numericalmethod.algoquant.data.calendar.datafile
Contains the file format information about the holiday data files.
HolidayCsvZipFileFormat.HolidayRow - Class in com.numericalmethod.algoquant.data.calendar.datafile
Customizes the CsvZipRow data.
HolidayCsvZipFileReader - Class in com.numericalmethod.algoquant.data.calendar.datafile
Reads holiday data files.
HolidayCsvZipFileReader(String) - Constructor for class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileReader
Creates a reader for a given data file.
HolidayCsvZipFileWriter - Class in com.numericalmethod.algoquant.data.calendar.datafile
Writes holiday data into <ExchangeCode><FromDate>~<ToDate>.csv.zip.
HolidayCsvZipFileWriter(String, String) - Constructor for class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileWriter
Creates a writer for a data file.
HolidaySource - Interface in com.numericalmethod.algoquant.data.calendar
 
HONG_KONG - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
Hong Kong
Hourly - Class in com.numericalmethod.algoquant.model.util.frequency
An hourly frequency starting at the beginning and ending at the end of the full hour respectively.
Hourly() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Hourly
 
HSI - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.hkex
 
HSI.Component - Enum in com.numericalmethod.algoquant.execution.datatype.product.stock.hkex
 
HSIReader - Class in com.numericalmethod.algoquant.data.historicaldata.hk
Deprecated.
HSIReader(String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.hk.HSIReader
Deprecated.
Constructs an instance with the file path of the HSI data file.

I

id() - Method in interface com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEvent
Gets the id of the timer that generated the event.
id() - Method in class com.numericalmethod.algoquant.execution.datatype.order.Order
 
id() - Method in class com.numericalmethod.algoquant.execution.simulation.setting.SimTask
 
id() - Method in class com.numericalmethod.algoquant.model.volarb.MeanReversionPortfolio.SubStrategyParam
Gets the id, which was given to this component in the constructor.
id2Series - Variable in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
 
idx1 - Variable in class com.numericalmethod.algoquant.model.signal.technical.crossover.Crossover.Signal
 
idx2 - Variable in class com.numericalmethod.algoquant.model.signal.technical.crossover.Crossover.Signal
 
Image - Class in com.numericalmethod.algoquant.execution.report.pdf.content
Represents an image.
Image(String) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.Image
Creates a new image content.
Image(Chart, String) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.Image
Creates a new image content from a chart.
impliedVolatility() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
ImpliedVolByBlackScholes - Class in com.numericalmethod.algoquant.model.breeden1978
 
ImpliedVolByBlackScholes(double) - Constructor for class com.numericalmethod.algoquant.model.breeden1978.ImpliedVolByBlackScholes
 
ImpliedVolCalculator - Interface in com.numericalmethod.algoquant.model.breeden1978
 
index() - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.IndexedPortfolio
 
IndexAwareOptimizer - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
IndexAwareOptimizer(PortfolioOptimizationAlgorithm) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.IndexAwareOptimizer
 
IndexAwareOptimizer(PortfolioOptimizationAlgorithm, IndexAwareOptimizer.IndexWeight) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.IndexAwareOptimizer
 
IndexAwareOptimizer.IndexWeight - Interface in com.numericalmethod.algoquant.model.portfoliooptimization
 
IndexedPortfolio<I,T extends Product> - Class in com.numericalmethod.algoquant.execution.datatype.product.portfolio
This class contains a portfolio, along with its portfolio index.
IndexedPortfolio(I, Portfolio<T>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.portfolio.IndexedPortfolio
 
indexFlag() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
industry() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSSubIndustry
 
industryCode() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
industryCode() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyData
 
industryGroup() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
industryGroup() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSIndustry
 
industryGroupCode() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
industryGroupCode() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyData
 
industryIds() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam.StockFilter
 
Infantino2010LongShortConstantValue - Class in com.numericalmethod.algoquant.model.infantino2010.strategy.order
We enter a long or short position of each traded asset depending on the predicted accumulated returns.
Infantino2010LongShortConstantValue(Infantino2010LongShortConstantValue.BuySellSignals, List<? extends Product>, List<? extends Product>) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010LongShortConstantValue
 
Infantino2010LongShortConstantValue(List<? extends Product>, List<? extends Product>) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010LongShortConstantValue
 
Infantino2010LongShortConstantValue(List<? extends Product>) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010LongShortConstantValue
 
Infantino2010LongShortConstantValue.BuySellSignals - Interface in com.numericalmethod.algoquant.model.infantino2010.strategy.order
 
Infantino2010LongShortConstantValue.SignsOfReturns - Class in com.numericalmethod.algoquant.model.infantino2010.strategy.order
 
Infantino2010Orders - Interface in com.numericalmethod.algoquant.model.infantino2010.strategy.order
Generates BUY/SELL orders based on the signals from Infantino2010PCA and Infantino2010Regime.
Infantino2010PCA - Class in com.numericalmethod.algoquant.model.infantino2010
The objective is to predict the next H-period accumulated returns from the past H-period dimensionally reduced returns.
Infantino2010PCA(int, int, int, int, boolean) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.Infantino2010PCA
 
Infantino2010Strategy - Class in com.numericalmethod.algoquant.model.infantino2010.strategy
This strategy trades according to the signals generated by Infantino2010PCA and Infantino2010Regime.
Infantino2010Strategy(List<? extends Product>, Infantino2010PCA, Infantino2010Regime, Infantino2010Orders) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy
 
Infantino2010Strategy(List<? extends Product>, int, int, int, boolean, Infantino2010Orders) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy
 
Infantino2010Strategy(Infantino2010Strategy.Param) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy
 
Infantino2010Strategy.Param - Class in com.numericalmethod.algoquant.model.infantino2010.strategy
 
infantinoOrders() - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy.Param
 
infantinoPCA() - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy.Param
 
infantinoRegime() - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy.Param
 
InformationRatio - Class in com.numericalmethod.algoquant.execution.performance.measure.ir
This is the algorithm to compute Information Ratio.
InformationRatio() - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatio
 
InformationRatioForPeriods - Class in com.numericalmethod.algoquant.execution.performance.measure.ir
Computes the information ratio (IR) from period returns.
InformationRatioForPeriods(double, Period, ReturnsCalculator, double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
Constructs an instance with a start time and a number of periods.
InformationRatioForPeriods(double, Period, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
Constructs an instance with a default benchmark return of zero.
InformationRatioForTrades - Class in com.numericalmethod.algoquant.execution.performance.measure.ir
Computes the Information Ratio (IR) from trade returns.
InformationRatioForTrades() - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForTrades
Constructs an instance with a default benchmark return of 0.
InformationRatioForTrades(double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForTrades
 
InformationRatioForTrades(double, TradeCalculator, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForTrades
 
InformationRatioForZeroInvestment - Class in com.numericalmethod.algoquant.execution.performance.measure.ir
Computes the Information Ratio (IR) for a zero-investment strategy, i.e., a zero initial capital.
InformationRatioForZeroInvestment(Period, double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForZeroInvestment
Constructs an instance.
init() - Static method in class com.numericalmethod.algoquant.execution.report.VelocityUtils
 
INITIAL_VALUE - Static variable in class com.numericalmethod.algoquant.execution.component.broker.otc.SimpleOtcBond
 
initialCapital() - Method in class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
initialCapital() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam
 
initialCash() - Method in class com.numericalmethod.algoquant.execution.component.context.SimpleTraderContext
 
initialize(TraderContext) - Method in class com.numericalmethod.algoquant.execution.strategy.composite.CompositeStrategy
 
initialize(TraderContext) - Method in interface com.numericalmethod.algoquant.execution.strategy.Strategy
 
initialize(SequentialCache<OrderBook>) - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2
Initializes the internal states of the strategy.
initialPrice(P) - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimContext
 
initialPrices() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimContext
 
inSampleInterval() - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasket
 
inSamplePeriodForBasketSelection() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
inSamplePeriodForClustering() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.MRSimParam
 
Instantly - Class in com.numericalmethod.algoquant.model.util.frequency
The highest possible frequency.
Instantly() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Instantly
 
interestRate() - Method in class com.numericalmethod.algoquant.execution.component.broker.otc.SimpleOtcBond
 
interval(Interval, TraderContext.Data.Eod.Field) - Method in interface com.numericalmethod.algoquant.execution.component.context.TraderContext.Data.Eod
The EOD data for a given time interval (including today's EOD if the interval's end time is after the market close).
interval() - Method in interface com.numericalmethod.algoquant.execution.datatype.orderbook.cache.OrderBookCachesInfo
Gets the simulation interval, the times at which the simulation begins and ends.
interval() - Method in class com.numericalmethod.algoquant.execution.performance.measure.byperiod.IntervalValue
 
interval() - Method in class com.numericalmethod.algoquant.execution.simulation.template.composite.SimTemplateComposite
 
intervalFromFileName(String, Exchange) - Static method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
Returns the time interval of the data stored in a given data file
IntervalValue - Class in com.numericalmethod.algoquant.execution.performance.measure.byperiod
A (interval, value) tuple.
IntervalValue(Interval, double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.byperiod.IntervalValue
 
intValue() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.ContractMonth
 
InvalidMeasureValuesFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Removes from CompanyHistorys those snapshots that have measure values NaN or Inf .
InvalidMeasureValuesFilter(Collection<CompanyMeasure>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.InvalidMeasureValuesFilter
 
invert() - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.PortfolioWeights
 
InvertedFXFactory - Class in com.numericalmethod.algoquant.execution.datatype.product.fx
 
ip - Variable in class com.numericalmethod.algoquant.util.sql.SQLParam
 
ipoDate() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.strategy.FactorStrategyParam.StockFilter
 
IRBasedAssetSelector - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
IRBasedAssetSelector(IRBasedAssetSelector.Selector, PortfolioOptimizationAlgorithm) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.IRBasedAssetSelector
 
IRBasedAssetSelector.Selector - Interface in com.numericalmethod.algoquant.model.portfoliooptimization
 
isActive() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
isActive() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyData
 
isAllZero() - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.PortfolioWeights
 
isBetaGood(Vector) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
isEmpty(SequentialCache<?>) - Static method in interface com.numericalmethod.algoquant.data.cache.SequentialCache
Determines if the given cache is null or empty.
isEmpty() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Checks if this buffer contains no item.
isEmpty() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
isExpired(DateTime) - Method in class com.numericalmethod.algoquant.execution.datatype.order.Order
Determines whether this order is expired for the current time.
isHoliday(DateTime) - Method in interface com.numericalmethod.algoquant.data.calendar.HolidayCalendar
Checks whether a given date is a holiday.
isHoliday(DateTime) - Method in class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromDB
 
isHoliday(DateTime) - Method in class com.numericalmethod.algoquant.data.calendar.HolidayCalendarFromYahoo
 
isMatched(String, T) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.CompanyPicker
 
isMatched(String, T) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQLUtils.Filter
 
isMatched(String, CompustatAccountingData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData.CompanyPicker
 
isMatched(String, CompustatAccountingData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData.Filter
 
isMatched(CompustatCompanyData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData.CompanyPicker
 
isMatched(CompustatCompanyData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData.Filter
 
isMatched(String, CompustatTradingData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipTradingData.CompanyPicker
 
isMatched(String, CompustatTradingData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipTradingData.Filter
 
isOK(StatefulCacheFilter.FilterState, TimedEntry<T>) - Method in class com.numericalmethod.algoquant.data.cache.processor.filter.DropHeadFilter
 
isOK(StatefulCacheFilter.FilterState, TimedEntry<T>) - Method in class com.numericalmethod.algoquant.data.cache.processor.filter.OutlierFilter
 
isOK(StatefulCacheFilter.FilterState, TimedEntry<T>) - Method in interface com.numericalmethod.algoquant.data.cache.processor.filter.StatefulCacheFilter
Determines whether the current entry is OK to pass the filter or not, based on the current state.
isOK(MultivariateGenericTimeTimeSeries<DateTime>) - Method in class com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch.AlwaysOKFilter
 
isOK(MultivariateGenericTimeTimeSeries<DateTime>) - Method in class com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch.BetaDefined
 
isOK(MultivariateGenericTimeTimeSeries<DateTime>) - Method in interface com.numericalmethod.algoquant.model.analysis.cointegration.CointegratedPairsSearch.Filter
Returns true if the betas satisfy certain criteria.
isPast(DateTime) - Method in class com.numericalmethod.algoquant.model.signal.LastUpdateTime
 
isPriceCrossingBidAsk(OrderBook, Order) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.LimitOrderFillModelUtils
Determines if the order price is crossing the bid-ask spread.
isPriceInBidAskSpread(OrderBook, Order) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.LimitOrderFillModelUtils
Determines if the price is in the range of the bid-ask spread.
isReady() - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousBasketPrices
 
isReady() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleQueueBySize
 
isReady() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingTimes
Checks if the signal has received enough points to finish initialization.
isReady() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowBySize
 
isReady() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfSynchronousBasketPrices
Returns true if there are enough points to fill the moving window.
isSameDay(DateTime, DateTime) - Method in class com.numericalmethod.algoquant.util.OneDaySpan
 
issueDate() - Method in class com.numericalmethod.algoquant.execution.component.broker.otc.SimpleOtcBond
 
issuer() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
issuer() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.etf.ETF
 
issuer() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.etf.ETFSetUS1_1
 
issuer() - Method in class com.numericalmethod.algoquant.execution.datatype.product.etf.SimpleETF
 
issueType() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
isToBuy(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
isToBuy(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
isToBuy(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
isToSell(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
isToSell(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
isToSell(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in interface com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy.Customization
 
isToUnwind(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundLongTermMeanConstantCoefficients
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
isToUnwind(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
isToUnwind(double, double, double[], double) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
isToUnwind(double, double, double[], List<Product>, TradeBlotter) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.OrderSizeConstant
 
isValid() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.OrderBook
 
isValid() - Method in class com.numericalmethod.algoquant.model.factormodel.factor.FactorValueLookupByMarketSnapshots
 
isValid() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.Exposures
 
isValid() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.Premiums
 
isZeroCost(Portfolio<T>, Map<T, Double>, double) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.PortfolioFactory
Checks if a given portfolio is a zero-cost portfolio.
iterator() - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
iterator() - Method in class com.numericalmethod.algoquant.data.cache.CombinedCache
 
iterator() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
 
iterator() - Method in class com.numericalmethod.algoquant.data.cache.TimeSeriesCache
 
iterator() - Method in class com.numericalmethod.algoquant.data.cache.VectorCache
 
iterator() - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
 
iterator() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyHistory
 
iterator() - Method in class com.numericalmethod.algoquant.data.historicaldata.csv.tick.DailyTickDataCache
 
iterator() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsOptionChainDataCache
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.ArrayXYSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.OHLCSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.RangeBarSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.SimpleTimeSeriesXYSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.TimeSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.simulator.DynamicEventQueue
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ReturnsFromPriceSeries
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ReturnsFromReturnsSeries
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ReturnsFromRNG
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.orderbook.cache.returns.ReturnsOrderBookCache
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
iteratorBetween(Interval) - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
iteratorBetween(Interval) - Method in interface com.numericalmethod.algoquant.data.cache.RandomAccessCache
Returns an iterator of timed entries, within a given time interval.
iteratorBetween(Interval) - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets an iterator from begin (inclusive) to end (exclusive).
iteratorBetween(Interval) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
iteratorFrom(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
iteratorFrom(DateTime) - Method in interface com.numericalmethod.algoquant.data.cache.RandomAccessCache
Returns an iterator of timed entries, starting from a specified time.
iteratorFrom(DateTime) - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets an iterator starting from time (inclusive).
iteratorFrom(DateTime) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 

J

johansenTest - Variable in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
JPY - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 

K

KagiMRBasketSimulation - Class in com.numericalmethod.algoquant.model.daspremont2008.simulation
 
KagiMRBasketSimulation(MRSimParam) - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.simulation.KagiMRBasketSimulation
 
KagiMRStrategy - Class in com.numericalmethod.algoquant.model.daspremont2008.strategy
This strategy trades baskets of assets according to the signal given by MRModelKagi.
KagiMRStrategy(MRBasket, double) - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.strategy.KagiMRStrategy
 
KagiMRStrategy(MRBasket, double, MRModelKagi) - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.strategy.KagiMRStrategy
 

L

Lai2010NPEBModelFixedLambda<P extends Product> - Class in com.numericalmethod.algoquant.model.portfoliooptimization.lai2010
Computes weights with a given fixed risk aversion index (λ).
Lai2010NPEBModelFixedLambda(Lai2010NPEBModel, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelFixedLambda
 
Lai2010NPEBModelOptimalLambda<P extends Product> - Class in com.numericalmethod.algoquant.model.portfoliooptimization.lai2010
Chooses the optimal lambda that maximizes the information ratio (IR).
Lai2010NPEBModelOptimalLambda(Lai2010NPEBModel, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
Constructs a model that finds weights to maximize information ratio (with the given benchmark rate).
Lai2010NPEBModelOptimalLambda(Lai2010NPEBModel) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
Constructs a model that finds weights to maximize information ratio (with benchmark rate of zero).
Lai2010OptimizationAlgorithm - Class in com.numericalmethod.algoquant.model.portfoliooptimization
 
Lai2010OptimizationAlgorithm(double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.Lai2010OptimizationAlgorithm
 
lastBusinessDay(HolidayCalendar, DateTime, int) - Static method in class com.numericalmethod.algoquant.data.calendar.CalendarUtils
Gets the last n-th business day before a date.
lastBusinessDayInclusive(HolidayCalendar, DateTime, int) - Static method in class com.numericalmethod.algoquant.data.calendar.CalendarUtils
Gets the last n-th business day before a date.
lastEntry() - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
 
lastEntry() - Method in interface com.numericalmethod.algoquant.data.cache.RandomAccessCache
 
lastEntry() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the last entry in the buffer.
lastEntry() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketHistoryImpl1
 
lastly() - Method in interface com.numericalmethod.algoquant.data.historicaldata.csv.CSVCacheLoader.Processor
 
lastTimestamp() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
lastTimestamp() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
 
lastTradedDate() - Method in class com.numericalmethod.algoquant.data.historicaldata.optionmetrics.OptionMetricsData
 
LastUpdateTime - Class in com.numericalmethod.algoquant.model.signal
Tracks the last update time, say, of a signal.
LastUpdateTime() - Constructor for class com.numericalmethod.algoquant.model.signal.LastUpdateTime
 
Layout - Class in com.numericalmethod.algoquant.execution.report.pdf.content
 
Layout(int, int) - Constructor for class com.numericalmethod.algoquant.execution.report.pdf.content.Layout
 
LeadLagByLongTermMeanConstantCoefficients - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This strategy assumes that a leading product provides signal to a lagged product thru their cointegration relationship.
LeadLagByLongTermMeanConstantCoefficients(Vector, double, double, Product) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.LeadLagByLongTermMeanConstantCoefficients
 
Lehmann1990Weighting<T extends Product> - Class in com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting
This class weights products by their ranks.
Lehmann1990Weighting() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.Lehmann1990Weighting
 
liability() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingData
 
liability() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyAccountingData
 
LIFOTradeCalculator - Class in com.numericalmethod.algoquant.execution.datatype.trade.calculator
A trade is counted when the net position is decreased, and the last unclosed entry execution is used to match the exit execution.
LIFOTradeCalculator() - Constructor for class com.numericalmethod.algoquant.execution.datatype.trade.calculator.LIFOTradeCalculator
 
LimitOrder - Class in com.numericalmethod.algoquant.execution.datatype.order
A limit order, which only buys a security at no higher than or sells the security for no lower than the specified limit price.
LimitOrder(Product, BasicOrderDescription.Side, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.order.LimitOrder
 
LimitOrderFillModel - Interface in com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
Defines how limit orders are filled, e.g., fill probability on touch, fill quantity model, etc.
LimitOrderFillModelUtils - Class in com.numericalmethod.algoquant.execution.component.simulator.market.limitorder
Utility methods for limit order execution models.
linearEqualityConstraints() - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPConstraint
 
linearEqualityConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPMinWeights
 
linearEqualityConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoConstraint
Deprecated.
 
linearEqualityConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoShortSelling
 
linearEqualityConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPUnity
 
linearGreaterThanConstraints() - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPConstraint
 
linearGreaterThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPMinWeights
 
linearGreaterThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoConstraint
Deprecated.
 
linearGreaterThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoShortSelling
 
linearGreaterThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPUnity
 
linearLessThanConstraints() - Method in interface com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPConstraint
 
linearLessThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPMinWeights
 
linearLessThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoConstraint
Deprecated.
 
linearLessThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPNoShortSelling
 
linearLessThanConstraints() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.constraints.QPUnity
 
LinearlyCombinedPerformanceMeasure - Class in com.numericalmethod.algoquant.execution.performance.measure
This is a linear combination of measures, usually used in portfolio optimization and comparison.
LinearlyCombinedPerformanceMeasure(Map<PerformanceMeasure, Double>) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.LinearlyCombinedPerformanceMeasure
 
list() - Method in class com.numericalmethod.algoquant.execution.datatype.product.derivative.option.OptionChainData
 
ListedProduct - Interface in com.numericalmethod.algoquant.execution.datatype.product
 
load() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
Loads all data from the data file.
load(String...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
Loads data for specified stocks.
load(CompustatSQLUtils.Filter<T>...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.sql.CompustatSQL
Loads trading data from a ComputStat file with the given filters.
load() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData
Loads all data from the data file.
load(String...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData
 
load(CompustatZipAccountingData.Filter...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipAccountingData
This method may be called multiple times for loading additional data.
load(CompustatZipCompanyData.Filter...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.zip.CompustatZipCompanyData
Loads company data from a ComputStat file with the given filters.
load() - Method in class com.