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A

AAPL - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.usa
http://www.google.com/finance?q=NASDAQ%3AAAPL
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
 
AccountingFactor - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor.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.
AccountingFactor() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.AccountingFactor
 
AccountingFactor(Period, Period) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.AccountingFactor
 
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
 
AccumulationDistributionLineDemo - Class in com.numericalmethod.algoquant.model.signal.technical.volume
A simple strategy based on the Accumulation Distribution Line.
AccumulationDistributionLineDemo.SimpleADLStrategy - Class in com.numericalmethod.algoquant.model.signal.technical.volume
 
add(DateTime, T) - Method in class com.numericalmethod.algoquant.data.cache.BufferCache
Adds an item at a specified time.
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
 
addCache(Product, SequentialCache<? extends Depth>) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
addConfigFile(String) - Method in class com.numericalmethod.algoquant.util.config.AQConfig
Adds a configuration file.
addContent(Content) - Method in class com.numericalmethod.algoquant.data.export.pdf.content.ContentTree
Adds a content to this content tree.
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.rolling.MeasureToTimeSeries
 
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.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
 
addPrices(double[]) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfReturns
Updates the series with new prices.
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.premium.PanelDataPrices
 
addRow(Stock, DateTime, double, double...) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PanelDataReturns
 
addRow(double...) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleArrayBySize
 
addRow(Number[]) - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleArrayBySize
 
addSampleAfterLastEntry(boolean) - Method in class com.numericalmethod.algoquant.data.cache.processor.sampler.AbstractCacheSampler
Configures this sampler to add a sample after the last entry of the input cache.
addTag(String, Object) - Method in class com.numericalmethod.algoquant.execution.datatype.order.BasicOrderDescription
Adds a tag to the order.
AdjacentDuplicateFilter<T> - Class in com.numericalmethod.algoquant.data.cache.processor.filter
Filters out adjacently duplicated entries.
AdjacentDuplicateFilter() - Constructor for class com.numericalmethod.algoquant.data.cache.processor.filter.AdjacentDuplicateFilter
 
adjClose - Variable in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
adjClose() - Method in class com.numericalmethod.algoquant.execution.datatype.StockEOD
 
alignFiscalDate(DateTime, DateTime, Exchange) - Static method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB
If the timestamp happens on a fiscal month, align the timestamp with that of reporting time.
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.
allProducts() - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
allSymbols() - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
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
 
analyze(TradeBlotter, DepthCaches, ExchangeRateTable) - Method in interface com.numericalmethod.algoquant.execution.performance.report.analyzer.PerformanceAnalyzer
Generates a performance report from a given trade blotter.
analyze(TradeBlotter, DepthCaches, ExchangeRateTable) - Method in class com.numericalmethod.algoquant.execution.performance.report.analyzer.SimplePerformanceAnalyzer
 
analyze(TradeBlotter, DepthCaches) - Method in interface com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulation.Template
 
angle() - Method in class com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation
 
angle - Variable in enum com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation.Type
 
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 provides utility functions for strategy construction.
AR1GARCH11Returns - Class in com.numericalmethod.algoquant.execution.datatype.depth.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.depth.cache.returns.AR1GARCH11Returns
 
AR1GARCH11Returns(double, double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.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.depth.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.depth.cache.returns.AR1Returns
 
AR1Returns(double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.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.depth.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.depth.cache.returns.ARCH1Returns
 
ARCH1Returns(double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.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.SimpleSOCPPortfolio
Checks whether all constraints are satisfied for this asset allocation problem for a given vector of weights.
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPBlackList
 
areAllConstraintsSatisfied(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPUnity
 
areSignalsReady() - Method in interface com.numericalmethod.algoquant.execution.strategy.PlottableSignals
Determines if there are up-to-date signals to be plotted.
areSignalsReady() - Method in class com.numericalmethod.algoquant.execution.strategy.PlottableSignalsNone
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongOnly
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongShort
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005Strategy
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.signal.technical.volume.AccumulationDistributionLineDemo.SimpleADLStrategy
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.signal.technical.volume.ChaikinMoneyFlowDemo.SimpleADLStrategy
 
areSignalsReady() - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolio
 
areValid(Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.FactorUtils
 
ARIMA0d0Returns - Class in com.numericalmethod.algoquant.execution.datatype.depth.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.depth.cache.returns.ARIMA0d0Returns
 
ARIMA0d0Returns(int, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.returns.ARIMA0d0Returns
 
ARMA11Returns - Class in com.numericalmethod.algoquant.execution.datatype.depth.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.depth.cache.returns.ARMA11Returns
 
ARMA11Returns(double, double, double, double, RandomStandardNormalGenerator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.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.
Array2XYSeriesAdaptor - Class in com.numericalmethod.algoquant.execution.component.chart
 
Array2XYSeriesAdaptor(Double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.Array2XYSeriesAdaptor
 
Array2XYSeriesAdaptor(double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.Array2XYSeriesAdaptor
 
Array2XYSeriesAdaptor(double[], double[]) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.Array2XYSeriesAdaptor
 
asCompustatStock() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HSI.Component
 
ask(int) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.Depth
Gets the ask price at a specified level.
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
 
assetReturn() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils.Snapshot
 
assets() - Method in class com.numericalmethod.algoquant.model.util.price.PriceMatrix
 
atDailyTime(String, LocalTime, DateTime, DateTime, DateTimeZone) - 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
 
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

back() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
back(Frame) - Static method in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
backButton - Variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
Backtest - Class in com.numericalmethod.algoquant.execution.backtest
Deprecated.
bad design, type-unsafe, too much hacking
Backtest(BacktestTemplate, BTParamSimulation, BTParamSA, BTParamMC, Canvas, ProgressListener) - Constructor for class com.numericalmethod.algoquant.execution.backtest.Backtest
Deprecated.
Backtests a strategy to generate a report.
Backtest(BTParam, Canvas, ProgressListener) - Constructor for class com.numericalmethod.algoquant.execution.backtest.Backtest
Deprecated.
 
backtest(String, String) - Method in class com.numericalmethod.algoquant.execution.backtest.BacktestFromXMLApp
 
backtest(BTParam) - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
BacktestFromXMLApp - Class in com.numericalmethod.algoquant.execution.backtest
Reads an XML input files, runs backtesting and generates a pdf report.
BacktestFromXMLApp() - Constructor for class com.numericalmethod.algoquant.execution.backtest.BacktestFromXMLApp
 
BacktestFromXMLApp.ConsoleProgressListener - Class in com.numericalmethod.algoquant.execution.backtest
 
BacktestTask - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.model
Task that performs the report generation given the backtest parameters BTParam, obtained through the GUI or by parsing and XML document.
BacktestTask(BTParam) - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.model.BacktestTask
 
BacktestTemplate<S extends Strategy.Param> - Interface in com.numericalmethod.algoquant.execution.backtest
Specifies the details in a backtesting process.
BacktestXMLUtils - Class in com.numericalmethod.algoquant.execution.backtest.parameter
 
BacktestXMLUtils() - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BacktestXMLUtils
 
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.SimulationParam
 
basketCount() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
basketRenewalPeriod() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParam
 
basketRenewalPeriod() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
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.SimulationParam
 
basketSize() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
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
 
BatchParameterizedSimulationDemo - Class in com.numericalmethod.algoquant.execution.simulation.batch
Demonstrates how to use BatchParameterizedSimulation.
BatchParameterizedSimulationDemo() - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.BatchParameterizedSimulationDemo
 
BatchSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch
This class processes in batch a collection of SimTasks.
BatchSimulation(PerformanceAnalyzer) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.BatchSimulation
Constructs a new instance of 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 class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
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
 
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.
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
 
Beta - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor
The market risk factor as in CAPM model, whose exposure is obtained via time-series regression from the historical monthly returns.
Beta(int) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.Beta
Constructs a beta factor for a given time period.
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
 
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.SOCPUnity
Computes the amount of deviation from unity, hence bias.
bid(int) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.Depth
Gets the bid price at a specified level.
bindProgressProperty(ReadOnlyDoubleProperty) - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerProgressBar
 
BLANK_CANVAS - Static variable in interface com.numericalmethod.algoquant.data.export.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.
blotter() - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
BookToMarket - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting
 
BookToMarket() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.BookToMarket
 
BootstrapDepthCachesFactory - Interface in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
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<Depth>>) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapMultiCacheFactory(List<SequentialCache<Depth>>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapMultiCacheFactory(List<SequentialCache<Depth>>, MultivariateResampler, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapMultiCacheFactory
 
BootstrapSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSimulation(BootstrapDepthCachesFactory, BootstrapSimulation.Template) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulation
 
BootstrapSimulation.Template - Interface in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSimulationDemo - Class in com.numericalmethod.algoquant.model.dai2011.strategy
Demonstrates the bootstrap simulation of the Dai's trend following strategy.
BootstrapSimulationDemo() - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.BootstrapSimulationDemo
 
BootstrapSimulationSMA2Demo - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
Demonstrates how to compute the P&L distribution of a strategy using a bootstrap method.
BootstrapSimulationSMA2Demo() - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulationSMA2Demo
 
BootstrapSingleCacheFactory - Class in com.numericalmethod.algoquant.execution.simulation.batch.bootstrap
 
BootstrapSingleCacheFactory(SequentialCache<Depth>, Resampler, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
BootstrapSingleCacheFactory(SequentialCache<Depth>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
BootstrapSingleCacheFactory(SequentialCache<Depth>) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSingleCacheFactory
 
Broker - Interface in com.numericalmethod.algoquant.execution.component.broker
This interface defines services provided by a broker to a strategy.
broker() - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
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
 
BTContentIntroduction - Class in com.numericalmethod.algoquant.execution.backtest.content
An introduction that describes the strategy.
BTContentIntroduction(BacktestTemplate) - Constructor for class com.numericalmethod.algoquant.execution.backtest.content.BTContentIntroduction
 
BTContentMC - Class in com.numericalmethod.algoquant.execution.backtest.content
Generates a ContentTree for Monte Carlo analysis.
BTContentMC() - Constructor for class com.numericalmethod.algoquant.execution.backtest.content.BTContentMC
 
BTContentSA - Class in com.numericalmethod.algoquant.execution.backtest.content
Displays the sensitivity analysis charts.
BTContentSA() - Constructor for class com.numericalmethod.algoquant.execution.backtest.content.BTContentSA
 
BTContentSimulation - Class in com.numericalmethod.algoquant.execution.backtest.content
Constructs Content for simulation results, such as the P&L chart and performance measures.
BTContentSimulation() - Constructor for class com.numericalmethod.algoquant.execution.backtest.content.BTContentSimulation
 
BTParam - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam() - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam
 
BTParam.XMLMC - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLSA - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLSimulation - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLSimulation.PerformanceMeasures - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLSimulation.Products - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLStrategies - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLStrategies.XMLFactorStrategy - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLStrategies.XMLFactorStrategy.Factors - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParam.XMLStrategies.XMLSMA2 - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Java class for anonymous complex type.
BTParamMC - Class in com.numericalmethod.algoquant.execution.backtest.parameter
 
BTParamMC(int, int) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamMC
 
BTParamMC() - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamMC
 
BTParamMC(BTParam.XMLMC) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamMC
 
BTParamSA - Class in com.numericalmethod.algoquant.execution.backtest.parameter
These are the parameters that determine the accuracy and amount of detail to do simulations.
BTParamSA(int) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSA
 
BTParamSA() - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSA
 
BTParamSA(BTParam.XMLSA) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSA
 
BTParamSimulation<T extends Product> - Class in com.numericalmethod.algoquant.execution.backtest.parameter
Backtest parameters for Simulation.
BTParamSimulation(ExecutionParam<T>, Interval, List<PerformanceMeasure>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
 
BTParamSimulation(BTParam.XMLSimulation) - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
 
BucketingByFactorRanks<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.
BucketingByFactorRanks(List<Factor>, Map<Factor, Integer>, ExposureLookup, StockBucketingAlgorithm.BucketSizeAllocation) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.BucketingByFactorRanks
Constructs an instance that buckets stocks based on the ranks of the equities in each factor ranking.
BucketingByFactorRanks(List<Factor>, Map<Factor, Integer>, ExposureLookup) - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.BucketingByFactorRanks
 
BucketSizeAllocationFatMiddle - Class in com.numericalmethod.algoquant.model.factormodel.bucket
This algorithm assigns more items to the middle buckets than the extreme buckets.
BucketSizeAllocationFatMiddle() - Constructor for class com.numericalmethod.algoquant.model.factormodel.bucket.BucketSizeAllocationFatMiddle
 
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
This 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
 

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 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.
CacheFilter<T> - Interface in com.numericalmethod.algoquant.data.cache.processor.filter
Filters cache entries.
cacheMap() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
Gets an immutable copy of the depth 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.
cachesToSources(Map<Product, ? extends SequentialCache<? extends Depth>>) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.SourceUtils
 
cacheToSource(SequentialCache<? extends T>) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.SourceUtils
 
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(RandomAccessCache<CompanyProfile>, CompanyMeasure, Interval) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureCalculator
Calculates a company measure from a company history during the period between startDate and endDate.
CalendarUtils - Class in com.numericalmethod.algoquant.data.calendar
 
call() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.model.BacktestTask
 
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.
CandleStickDemo - Class in com.numericalmethod.algoquant.execution.component.chart.demo
 
CandleStickDemo() - Constructor for class com.numericalmethod.algoquant.execution.component.chart.demo.CandleStickDemo
 
Canvas - Interface in com.numericalmethod.algoquant.data.export
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.MovingDoubleArrayBySize
 
capital() - Method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
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
 
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
 
CashflowPerMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting
 
CashflowPerMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.CashflowPerMarketCap
 
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
 
ChaikinMoneyFlowDemo - Class in com.numericalmethod.algoquant.model.signal.technical.volume
A simple strategy based on the Chaikin Money Flow.
ChaikinMoneyFlowDemo.SimpleADLStrategy - Class in com.numericalmethod.algoquant.model.signal.technical.volume
 
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(RandomAccessCache<MarketSnapshot>, Currency, Collection<Stock>) - 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, MarketCondition, TradeBlotter, Broker) - 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 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
ChinaCommodity - Enum in com.numericalmethod.algoquant.execution.datatype.product.commodity
Some of the traded commodities in China.
chooseMarkToMarketPrices(Map<P, Double>, Map<? extends Product, Depth>) - 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, Depth>) - 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).
clear() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowOfReturns
Clears all the cached returns.
close() - Method in class com.numericalmethod.algoquant.data.export.xml.ExecutionXMLWriter
 
close() - Method in class com.numericalmethod.algoquant.data.export.xml.SimulationXMLWriter
 
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.model.signal.technical.ohlc.DynamicOHLC
 
CLOSE_POSITION_TIMER_ID - Static variable in class com.numericalmethod.algoquant.model.daspremont2008.strategy.KagiMRStrategy
 
closeHour() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
The closing hour of the exchange in the local time zone.
closeMinute() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.Exchange
The closing minute of the exchange, e.g., 30 for half past an hour, in the local time zone.
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 enum com.numericalmethod.algoquant.execution.datatype.product.stock.GICSSector
 
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>, DepthCacheFactory<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.data.export.pdf.content.text.Font
 
color() - Method in class com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation
 
color - Variable in enum com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation.Type
 
com.numericalmethod.algoquant - package com.numericalmethod.algoquant
 
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.export - package com.numericalmethod.algoquant.data.export
 
com.numericalmethod.algoquant.data.export.pdf - package com.numericalmethod.algoquant.data.export.pdf
 
com.numericalmethod.algoquant.data.export.pdf.content - package com.numericalmethod.algoquant.data.export.pdf.content
 
com.numericalmethod.algoquant.data.export.pdf.content.text - package com.numericalmethod.algoquant.data.export.pdf.content.text
 
com.numericalmethod.algoquant.data.export.xml - package com.numericalmethod.algoquant.data.export.xml
 
com.numericalmethod.algoquant.data.export.xml.bean - package com.numericalmethod.algoquant.data.export.xml.bean
 
com.numericalmethod.algoquant.data.historicaldata.bloomberg - package com.numericalmethod.algoquant.data.historicaldata.bloomberg
 
com.numericalmethod.algoquant.data.historicaldata.compustat - package com.numericalmethod.algoquant.data.historicaldata.compustat
 
com.numericalmethod.algoquant.data.historicaldata.csv - package com.numericalmethod.algoquant.data.historicaldata.csv
 
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.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.backtest - package com.numericalmethod.algoquant.execution.backtest
 
com.numericalmethod.algoquant.execution.backtest.content - package com.numericalmethod.algoquant.execution.backtest.content
 
com.numericalmethod.algoquant.execution.backtest.parameter - package com.numericalmethod.algoquant.execution.backtest.parameter
 
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.chart - package com.numericalmethod.algoquant.execution.component.chart
 
com.numericalmethod.algoquant.execution.component.chart.demo - package com.numericalmethod.algoquant.execution.component.chart.demo
 
com.numericalmethod.algoquant.execution.component.chart.plotter - package com.numericalmethod.algoquant.execution.component.chart.plotter
 
com.numericalmethod.algoquant.execution.component.simulator - package com.numericalmethod.algoquant.execution.component.simulator
 
com.numericalmethod.algoquant.execution.component.simulator.event - package com.numericalmethod.algoquant.execution.component.simulator.event
 
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.tradeblotter - package com.numericalmethod.algoquant.execution.component.tradeblotter
 
com.numericalmethod.algoquant.execution.datatype - package com.numericalmethod.algoquant.execution.datatype
 
com.numericalmethod.algoquant.execution.datatype.depth - package com.numericalmethod.algoquant.execution.datatype.depth
 
com.numericalmethod.algoquant.execution.datatype.depth.cache - package com.numericalmethod.algoquant.execution.datatype.depth.cache
 
com.numericalmethod.algoquant.execution.datatype.depth.cache.returns - package com.numericalmethod.algoquant.execution.datatype.depth.cache.returns
 
com.numericalmethod.algoquant.execution.datatype.depth.marketcondition - package com.numericalmethod.algoquant.execution.datatype.depth.marketcondition
 
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.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.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.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.filter.marketsnapshot - package com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot
 
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.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.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.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.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.demo - package com.numericalmethod.algoquant.execution.strategy.demo
 
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.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.qepm.exposure - package com.numericalmethod.algoquant.model.factormodel.qepm.exposure
 
com.numericalmethod.algoquant.model.factormodel.qepm.factor - package com.numericalmethod.algoquant.model.factormodel.qepm.factor
 
com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting - package com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting
 
com.numericalmethod.algoquant.model.factormodel.qepm.premium - package com.numericalmethod.algoquant.model.factormodel.qepm.premium
 
com.numericalmethod.algoquant.model.factormodel.strategy - package com.numericalmethod.algoquant.model.factormodel.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.corvalan2005 - package com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005
 
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.socp - package com.numericalmethod.algoquant.model.portfoliooptimization.socp
 
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.gui.demo - package com.numericalmethod.algoquant.util.gui.demo
 
com.numericalmethod.algoquant.util.gui.demo.backtest - package com.numericalmethod.algoquant.util.gui.demo.backtest
 
com.numericalmethod.algoquant.util.gui.demo.backtest.controller - package com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy - package com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy
 
com.numericalmethod.algoquant.util.gui.demo.backtest.model - package com.numericalmethod.algoquant.util.gui.demo.backtest.model
 
com.numericalmethod.algoquant.util.gui.demo.backtest.view - package com.numericalmethod.algoquant.util.gui.demo.backtest.view
 
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.
combineSources(Map<Product, Source<TimedEntry<Depth>>>, Collection<? extends SequentialCache<? extends Event>>) - Static method in class com.numericalmethod.algoquant.execution.component.simulator.SourceUtils
 
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 accounting data.
CompanyData - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Represents basic identity and status information of a company.
companyData() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyHistory
 
CompanyHistoriesFilter - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
 
CompanyHistoriesFilterImpl1 - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
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 - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company
 
CompanyHistory(CompanyData, SequentialCache<? extends CompanyTradingData>, SequentialCache<? extends CompanyAccountingData>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyHistory
 
CompanyHistory(CompanyData, SequentialCache<? extends CompanyProfile>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyHistory
 
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<CompanyProfile>>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistory.CompanyHistoryPredicateFilter
 
companyId() - Method in exception com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDataNotFoundException
 
CompanyMeasure - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
 
CompanyMeasure() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasure
 
CompanyMeasureCalculator - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Interface to calculate a company's measure during a date range.
CompanyMeasureCalculatorUtils - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Some predefined company measure calculators.
CompanyMeasureFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories
Filters company profiles within a certain range.
CompanyMeasureFilter(Interval, double, double, CompanyMeasure, CompanyMeasureCalculator) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyMeasureFilter
 
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.SimpleStock
 
companyName() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.Stock
 
companyName() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
Deprecated.
 
companyName() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB.CompanyPicker
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB.CompanyPicker
 
CompanyPicker(String...) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB.CompanyPicker
 
CompanyProfile - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Gets the measures or properties of a company at a time point.
CompanyTradingData - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company
Represents a company's trading data.
compare(Product, Product) - Method in class com.numericalmethod.algoquant.execution.datatype.product.ProductComparatorByName
 
compareTo(TimedEntry<?>) - Method in class com.numericalmethod.algoquant.data.cache.TimedEntry
 
ComparisonSOCPMarkowitzDemo - Class in com.numericalmethod.algoquant.model.portfoliooptimization.socp
We compare the results from a QP solver (Markowitz) and from an SOCP solver.
ComparisonSOCPMarkowitzDemo(int, Vector, Matrix, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.socp.ComparisonSOCPMarkowitzDemo
 
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(Collection<? extends Product>, StrategyHandler[], boolean) - Constructor for class com.numericalmethod.algoquant.execution.strategy.composite.CompositeStrategy
Constructs a composite strategy from a set of simpler strategies.
CompositeStrategy(Collection<? extends Product>, Collection<? extends StrategyHandler>, boolean) - Constructor for class com.numericalmethod.algoquant.execution.strategy.composite.CompositeStrategy
Constructs a composite strategy from a set of simpler strategies.
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
 
CompustatAccountingDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
This creates a database of company accounting information from a Compustat file.
CompustatAccountingDB(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB
 
CompustatAccountingDB.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
For loading the accounting information for the given stocks.
CompustatAccountingDB.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat
Selects which company data will be used.
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
 
CompustatCompanyDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
This creates a database of company static information from a Compustat file.
CompustatCompanyDB(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB
 
CompustatCompanyDB.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
for loading the prices for the given stocks
CompustatCompanyDB.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatDataNotFoundException - Exception in com.numericalmethod.algoquant.data.historicaldata.compustat
 
CompustatDataNotFoundException(String) - Constructor for exception com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDataNotFoundException
 
CompustatDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
Loads and combines data from multiple CompuStat data files for a given exchange.
CompustatDB(Exchange, String, String, String, String[]) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
Creates a database from Compustat data files.
CompustatDB(Exchange, String, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
 
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
 
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
 
CompustatTradingDataDB - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
This creates a database of historical price information from a Compustat file.
CompustatTradingDataDB(File, Exchange) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB
 
CompustatTradingDataDB.CompanyPicker - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
For loading the prices for a given stock.
CompustatTradingDataDB.Filter - Interface in com.numericalmethod.algoquant.data.historicaldata.compustat
Selects which company data will be used.
CompustatUtils - Class in com.numericalmethod.algoquant.data.historicaldata.compustat
 
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
 
computeBasketRenewalTimes(SimulationParam) - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.Simulation
 
computeExposure(CompanyProfile, CompanyProfile) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.AccountingFactor
 
computeExposure(CompanyProfile, CompanyProfile) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.BookToMarket
 
computeExposure(CompanyProfile, CompanyProfile) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.CashflowPerMarketCap
 
computeExposure(CompanyProfile, CompanyProfile) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.EarningsPerMarketCap
 
computeExposure(CompanyProfile, CompanyProfile) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.Momentum
 
computeMeasureAtInstant(RollingMeasure, List<Execution>, DepthCaches, DateTime) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureAtInstants(RollingMeasure, List<Execution>, DepthCaches, 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>, DepthCaches) - 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>, DepthCaches) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
 
computeMeasureValueWithTickVisitor(RollingMeasure, List<Execution>, DepthCaches, PerformanceMeasure.TickVisitor) - Static method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMeasureUtils
Computes the value of a RollingMeasure.
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
 
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, DepthCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturnsAtInstants(List<DateTime>, List<Execution>, double, ReturnsCalculator, DepthCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
computeReturnsPeriodically(DateTime, Period, int, List<Execution>, double, ReturnsCalculator, DepthCaches, ExchangeRateTable) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.MeasureUtils
 
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.data.export.pdf
Loads the configuration from the classpath.
ConfiguredFopFactory() - Constructor for class com.numericalmethod.algoquant.data.export.pdf.ConfiguredFopFactory
 
ConsoleProgressListener() - Constructor for class com.numericalmethod.algoquant.execution.backtest.BacktestFromXMLApp.ConsoleProgressListener
 
contains(T) - Method in class com.numericalmethod.algoquant.data.cache.VectorCache.Vector
 
contains(Product) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
Content - Interface in com.numericalmethod.algoquant.data.export.pdf.content
Marker interface for actual content, e.g.
content(ContentTemplate.ChartViewer, ProgressListener) - Method in interface com.numericalmethod.algoquant.data.export.pdf.content.ContentTemplate
 
content() - Method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentIntroduction
 
content(BTParamMC, List<Chart>) - Method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentMC
 
content(int, List<Chart>) - Method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentSA
 
content(BTParamSimulation, Chart, PerformanceReport, ProgressListener) - Method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentSimulation
 
content(BTParam) - Method in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
ContentGenerationException - Exception in com.numericalmethod.algoquant.data.export.pdf.content
 
ContentGenerationException(Exception) - Constructor for exception com.numericalmethod.algoquant.data.export.pdf.content.ContentGenerationException
 
ContentGenerationException(Exception) - Constructor for exception com.numericalmethod.algoquant.data.export.pdf.content.ContentTemplate.ContentGenerationException
 
ContentTemplate - Interface in com.numericalmethod.algoquant.data.export.pdf.content
Interface for classes that generate Contents, which may be assimilated into a structured document.
ContentTemplate.ChartViewer - Interface in com.numericalmethod.algoquant.data.export.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.data.export.pdf.content
 
ContentTree - Class in com.numericalmethod.algoquant.data.export.pdf.content
 
ContentTree(Content) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.ContentTree
Constructs a new content tree with the given content.
ContextPlotter - Class in com.numericalmethod.algoquant.execution.component.simulator
This class receives updates (Depth and Execution) during simulation and updates the plotter accordingly.
ContextPlotter(StrategyPlotter, RollingProfitLoss, PlottableSignals) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.ContextPlotter
 
ContextStrategy - Class in com.numericalmethod.algoquant.execution.component.simulator
Helper class for StrategyComponent to manage the market conditions and trade blotter.
ContextStrategy(MarketCondition, MutableTradeBlotter) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.ContextStrategy
 
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
 
controller - Variable in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
controller() - Method in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
ControllerLogo - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerLogo() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerLogo
 
ControllerMain - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerMain() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
ControllerMC - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerMC() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMC
 
ControllerPanelRegression - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy
 
ControllerPanelRegression() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerPanelRegression
 
ControllerProgressBar - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerProgressBar() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerProgressBar
 
ControllerSA - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerSA() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerSA
 
ControllerSimulation - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
ControllerSimulation() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerSimulation
 
ControllerSMA2 - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy
 
ControllerSMA2() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerSMA2
 
ControllerStrategy - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy
 
ControllerStrategy() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerStrategy
 
ControllerUtils - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
 
convertSymbolsToYahooFormat(List<String>) - Static method in class com.numericalmethod.algoquant.data.historicaldata.yahoo.api.YahooAPIUtils
 
corr() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQTick
 
Corvalan2005Demo - Class in com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005
This paper tackles the corner solution problem of many portfolio optimizers, by optimizing the portfolio diversification with some relaxation on the volatility σ and the expected return R of a given optimized (but non-diversified) portfolio.
Corvalan2005Demo(double, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005.Corvalan2005Demo
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.Array2XYSeriesAdaptor
 
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.SimpleTimeSeries2XYSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.component.chart.TimeSeriesAdaptor
 
count() - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousPriceBasket
 
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.
covPenalty() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParam
 
covPenalty() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
createBTParam() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam
createBTParamXMLMC() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLMC
createBTParamXMLSA() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLSA
createBTParamXMLSimulation() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLSimulation
createBTParamXMLSimulationPerformanceMeasures() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
createBTParamXMLSimulationProducts() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLSimulation.Products
createBTParamXMLStrategies() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLStrategies
createBTParamXMLStrategiesXMLFactorStrategy() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
createBTParamXMLStrategiesXMLFactorStrategyFactors() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
createBTParamXMLStrategiesXMLSMA2() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.ObjectFactory
Create an instance of BTParam.XMLStrategies.XMLSMA2
createPerStrategyBlotters(Collection<? extends StrategyHandler>) - Method in class com.numericalmethod.algoquant.execution.component.tradeblotter.TradeBlotterFactory
 
CreationException(String, Throwable) - Constructor for exception com.numericalmethod.algoquant.data.cache.SequentialCacheFactory.CreationException
Creates 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
 
CST - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
Central Standard Time
CsvCacheLoader - Class in com.numericalmethod.algoquant.data.historicaldata.csv
A tool for loading prices of a product from any well-defined CSV file into a SequentialCache of Depth.
CsvCacheLoader() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CsvCacheLoader
 
CsvColumnSpec - Class in com.numericalmethod.algoquant.data.historicaldata.csv
Specifies which columns in a CSV file are the date/time and price columns.
CsvColumnSpec(String, String, String) - Constructor for class com.numericalmethod.algoquant.data.historicaldata.csv.CsvColumnSpec
Constructs an instance with the column headers, and the date/time format used in the CSV file.
ctsDescription() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQSaleCondition
 
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 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.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.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.SimpleStock
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
Deprecated.
 
currency() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
currency() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParam
 
currency() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
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).
currentPositions - Variable in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolio
 
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, double, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongOnly
 
Dai2011LongOnlyDemo - Class in com.numericalmethod.algoquant.model.dai2011.strategy
Demonstrates the Dai's optimal trend following trading strategy.
Dai2011LongOnlyDemo() - Constructor for class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongOnlyDemo
 
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, double, ExchangeRateTable) - 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.
DailyDataFileMaker<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.
DailyDataFileMaker() - Constructor for class com.numericalmethod.algoquant.data.cache.util.DailyDataFileMaker
 
DailyDataFileMaker.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.
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.simulator.message.ChannelMessage
 
data() - Method in class com.numericalmethod.algoquant.execution.performance.distribution.PerformanceDistribution
Get a raw, unsorted copy of the sample.
DataCacheUtils - Class in com.numericalmethod.algoquant.data.cache.util
 
date() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingData
 
date() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyTradingData
 
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.premium.PanelDataPrices
The date format used by this class.
DATE_TIME_FORMATTER - Static variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
 
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).
decode(String) - Static method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQSaleCondition
 
DEFAULT_ACCOUNT_DATE_OFFSET - Static variable in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.AccountingFactor
 
DEFAULT_ACCOUNT_DATE_OFFSET - Static variable in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.Momentum
 
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.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
DEFAULT_FOLDER - Static variable in class com.numericalmethod.algoquant.util.gui.demo.FilteredFileChooser
 
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.qepm.factor.accounting.AccountingFactor
 
DEFAULT_MARKET_DATE_OFFSET - Static variable in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.Momentum
 
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
 
defaultConfig() - Static method in class com.numericalmethod.algoquant.util.config.AQConfig
 
defaultObjectiveFunction(Vector) - Static method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRBasketFinder
 
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.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 the 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(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
 
DemoBacktestApp - Class in com.numericalmethod.algoquant.util.gui.demo.backtest
 
DemoBacktestApp() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.DemoBacktestApp
 
DemoStrategy - Enum in com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy
 
denomination() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.derivative.futures.sgx.SGXFuturesContracts
 
Depth - Class in com.numericalmethod.algoquant.execution.datatype.depth
This class contains multiple depths on both bid and ask sides for a product.
Depth(Product, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.Depth
 
Depth(Product, double...) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.Depth
 
Depth(Product, double[], Object) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.Depth
 
depth(Product) - Method in interface com.numericalmethod.algoquant.execution.datatype.depth.marketcondition.MarketCondition
 
depth(Product) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.marketcondition.SimpleMarketCondition
 
DEPTH_MID - Static variable in class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleDataTransformers
This converts a Depth data into a Double by taking the mid-price.
DEPTH_MID - Static variable in class com.numericalmethod.algoquant.data.cache.processor.transformer.DoubleEntryCacheTransformers
This converts a Depth data into a Double by taking its mid-price.
DepthCacheFactory<P extends Product> - Interface in com.numericalmethod.algoquant.execution.datatype.depth.cache
Creates depth caches for this given product type.
DepthCacheFactoryByMap<P extends Product> - Class in com.numericalmethod.algoquant.execution.datatype.depth.cache
 
DepthCacheFactoryByMap(Map<P, DepthCacheFactory<P>>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCacheFactoryByMap
 
DepthCaches - Class in com.numericalmethod.algoquant.execution.datatype.depth.cache
Contains caches of multiple product depths for simulation.
DepthCaches() - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
DepthCaches(Product, SequentialCache<? extends Depth>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
DepthCaches(DepthCacheFactory<P>, List<? extends P>, Interval) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
DepthCaches(Map<? extends Product, List<TimedEntry<Depth>>>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
 
depthCaches() - Method in class com.numericalmethod.algoquant.execution.simulation.setting.SimSetting
 
depthCaches() - Method in class com.numericalmethod.algoquant.execution.simulation.setting.SimTask
 
depthCachesFactories() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.AR1GARCH11Task
 
depthCachesFactories() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.AR1Task
 
depthCachesFactories() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.ARCH1Task
 
depthCachesFactories() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.ARMA11Task
 
depthCachesFactories() - Method in interface com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimulationTask
 
depthCachesFactories() - Method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.RandomWalkTask
 
DepthCachesInfo - Interface in com.numericalmethod.algoquant.execution.datatype.depth.cache
 
DepthHandler - Interface in com.numericalmethod.algoquant.execution.strategy.handler
Interface for a strategy to implement to listen to Depth updates in a simulation.
depths() - Method in interface com.numericalmethod.algoquant.execution.datatype.depth.marketcondition.MarketCondition
 
depths() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.marketcondition.SimpleMarketCondition
 
depths() - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousPriceBasket
 
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.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 enum com.numericalmethod.algoquant.model.factormodel.qepm.factor.Factors
 
descriptions() - Static method in enum com.numericalmethod.algoquant.execution.performance.measure.PerformanceMeasureFactories
 
descriptions() - Static method in enum com.numericalmethod.algoquant.model.factormodel.qepm.factor.Factors
 
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.MovingDoubleArrayBySize
 
dimensionOfDomain() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPBlackList
 
dimensionOfDomain() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPUnity
 
dimensionOfRange() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPBlackList
 
dimensionOfRange() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPUnity
 
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
 
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.
DrawdownDistribution - Class in com.numericalmethod.algoquant.execution.performance.distribution
This is the distribution of P&L drawdowns.
DrawdownDistribution(List<Execution>, DepthCaches, 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>, DepthCaches, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.performance.distribution.DrawdownDurationDistribution
 
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
 
EarningsPerMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting
 
EarningsPerMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.EarningsPerMarketCap
 
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
 
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
 
Elliott2005StrategyDemo1 - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
Demonstrates how to use Elliott2005Strategy and customize the strategy.
Elliott2005StrategyDemo1() - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005StrategyDemo1
 
Elliott2005StrategyDemo2 - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
Demonstrates another (simpler) way of coding Elliott2005StrategyDemo1 using a template.
Elliott2005StrategyDemo2() - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005StrategyDemo2
 
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 CompanyHistorys which 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.
endDate - Variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
 
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
 
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.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.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.SimpleStock
 
equals(Object) - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
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
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
 
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.SOCPBlackList
Note: x here is the trading size, not the position.
evaluate(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.SOCPUnity
 
Event - Interface in com.numericalmethod.algoquant.execution.component.simulator.event
A marker interface for events which it is possible to subscribe to.
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 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.SimpleStock
 
exchange() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.Stock
 
exchange() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
Deprecated.
 
exchange() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
exchange() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParam
 
exchange() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
exchangeCodes() - Method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickData
 
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() - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategySimTemplate
 
exchangeRateTable() - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2SimTemplate
 
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.
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.
ExecutionAnnotation - Class in com.numericalmethod.algoquant.execution.component.chart.plotter
Represents an annotation for an execution on a strategy chart.
ExecutionAnnotation.Type - Enum in com.numericalmethod.algoquant.execution.component.chart.plotter
 
ExecutionBean - Class in com.numericalmethod.algoquant.data.export.xml.bean
Synopsis of an execution.
ExecutionBean(Execution) - Constructor for class com.numericalmethod.algoquant.data.export.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() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
 
ExecutionParam<T extends Product> - Class in com.numericalmethod.algoquant.execution.strategy
 
ExecutionParam(List<T>, double, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<T>, double) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<T>) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
ExecutionParam(List<T>, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
executionParam - Variable in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolio
 
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.data.export.xml
Exports executions to an XML file.
ExecutionXMLWriter(Writer) - Constructor for class com.numericalmethod.algoquant.data.export.xml.ExecutionXMLWriter
 
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, ExposureLookup, Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.FactorUtils
 
expectedReturns(List<Stock>, ExposureLookup, Premiums) - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.FactorUtils
 
expiry() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.derivative.option.Option
 
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.
exposure(Stock, Factor) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.exposure.ExposureLookup
 
exposure(Stock, Factor) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.exposure.ExposureLookupByMap
 
exposure(Stock, Factor) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.exposure.ExposureLookupByMarketSnapshots
 
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.AccountingFactor
 
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.Beta
 
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.factor.Factor
Computes the exposure of this factor for a stock at a date/time.
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.Intercept
 
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.LogMarketCap
 
exposure(Stock, DateTime, RandomAccessCache<MarketSnapshot>) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.factor.MeasureFactor
 
ExposureLookup - Interface in com.numericalmethod.algoquant.model.factormodel.qepm.exposure
Looks up the exposure of a factor of a stock at a time.
ExposureLookupByMap - Class in com.numericalmethod.algoquant.model.factormodel.qepm.exposure
A data structure to store, for each stock, the factor exposures.
ExposureLookupByMap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.exposure.ExposureLookupByMap
 
ExposureLookupByMarketSnapshots - Class in com.numericalmethod.algoquant.model.factormodel.qepm.exposure
Evaluates, for each stock, the factor exposures from market snapshots at a specified time.
ExposureLookupByMarketSnapshots(Collection<Stock>, Collection<Factor>, DateTime, RandomAccessCache<MarketSnapshot>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.exposure.ExposureLookupByMarketSnapshots
 
extension() - Method in enum com.numericalmethod.algoquant.util.gui.demo.FilteredFileChooser.Extension
 
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 - Variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy.Factors
 
Factor - Interface in com.numericalmethod.algoquant.model.factormodel.qepm.factor
The value for a factor is the exposure.
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
 
factors - Variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy
 
Factors() - Constructor for class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy.Factors
 
Factors - Enum in com.numericalmethod.algoquant.model.factormodel.qepm.factor
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PremiumRegressionOLSOnePeriod.Premiums
 
factors() - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.premium.Premiums
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PremiumsPerturbed
 
factors() - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy.Param
 
FactorStrategy - Class in com.numericalmethod.algoquant.model.factormodel.strategy
A factor strategy or a factor based dynamic portfolio at times re-computes the expected returns and covariance matrix, which are inputs to a portfolio optimization algorithm.
FactorStrategy(ExecutionParam<Stock>, FactorStrategy.PremiumRegressionFactory, FactorStrategy.PortfolioOptimizer) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
FactorStrategy(ExecutionParam<Stock>, List<Factor>, Period, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
FactorStrategy(ExecutionParam<Stock>, FactorStrategy.Param) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
FactorStrategy(ExecutionParam<Stock>, List<Factor>, ReturnsCalculator) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
FactorStrategy.Param - Class in com.numericalmethod.algoquant.model.factormodel.strategy
 
FactorStrategy.PortfolioOptimizer - Interface in com.numericalmethod.algoquant.model.factormodel.strategy
 
FactorStrategy.PremiumRegressionFactory - Interface in com.numericalmethod.algoquant.model.factormodel.strategy
 
FactorStrategyBacktestTemplate - Class in com.numericalmethod.algoquant.model.factormodel.strategy
 
FactorStrategyBacktestTemplate(FactorStrategy.Param, BTParamSimulation<Stock>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
 
FactorStrategyDemo - Class in com.numericalmethod.algoquant.model.factormodel.strategy
Contains all parameters that are used by the cross-sectional regression demos.
FactorStrategyDemo() - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyDemo
 
FactorStrategySimTemplate - Class in com.numericalmethod.algoquant.model.factormodel.strategy
 
FactorStrategySimTemplate(FactorStrategy.Param, BTParamSimulation<Stock>, int, Currency, RandomAccessCache<MarketSnapshot>) - Constructor for class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategySimTemplate
 
FactorUtils - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor
 
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(DepthCacheFactory<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.
fastLag - Variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLSMA2
 
fastLag() - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2.Param
 
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
 
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(Depth, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.AlwaysFillModel
 
fillOrder(Depth, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliFillModel
 
fillOrder(Depth, Order) - Method in class com.numericalmethod.algoquant.execution.component.simulator.market.limitorder.BernoulliPartialFillModel
 
fillOrder(Depth, 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(List<CompanyHistory>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesFilterImpl1
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyHistoriesPredicateFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompanyMeasureFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.CompositeFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.DelistedCompanyFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.EmptyHistoryFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.InvalidMeasureValuesFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.NewCompanyFilter
 
filter(List<CompanyHistory>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.companyhistories.NoPriceFilter
 
filter(List<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
 
filter(RandomAccessCache<MarketSnapshot>, Collection<Stock>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot.LiquidityFilter
 
filter(RandomAccessCache<MarketSnapshot>, Collection<Stock>) - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot.MarketSnapshotFilter
 
filter() - Method in enum com.numericalmethod.algoquant.util.gui.demo.FilteredFileChooser.Extension
 
FilteredFileChooser - Class in com.numericalmethod.algoquant.util.gui.demo
A wrapper for FileChooser, which chooses and saves only files with specified extensions.
FilteredFileChooser(String, FilteredFileChooser.Extension...) - Constructor for class com.numericalmethod.algoquant.util.gui.demo.FilteredFileChooser
 
FilteredFileChooser.Extension - Enum in com.numericalmethod.algoquant.util.gui.demo
 
FilteredFileChooser.NoFileChosenException - Exception in com.numericalmethod.algoquant.util.gui.demo
 
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(DepthCaches, 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() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Gets the first entry in the buffer.
firstEntry(SequentialCache<T>) - Static method in class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
Determines the first entry of the given cache or null if the cache is entry.
firstEntry() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyHistory
 
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
 
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
 
FixedSpreadDepthTransformer - Class in com.numericalmethod.algoquant.execution.datatype.depth.cache
 
FixedSpreadDepthTransformer(double, FixedSpreadDepthTransformer.Type) - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.cache.FixedSpreadDepthTransformer
 
FixedSpreadDepthTransformer.Type - Enum in com.numericalmethod.algoquant.execution.datatype.depth.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.data.export.pdf.content.text
 
Font(int, String, String) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.text.Font
 
FOP_FACTORY - Static variable in class com.numericalmethod.algoquant.data.export.pdf.ConfiguredFopFactory
a configured FopFactory
FopContentWriter - Class in com.numericalmethod.algoquant.data.export.pdf
Uses Apache's FOP to write ContentTree to a PDF file.
FopContentWriter(OutputStream) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.FopContentWriter
Constructs a new instance that writes to an OutputStream.
FopContentWriter(File) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.FopContentWriter
Constructs a new instance that writes to a file.
FopContentWriter(String) - Constructor for class com.numericalmethod.algoquant.data.export.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.
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.
formatFileName(Exchange, Interval) - Static method in class com.numericalmethod.algoquant.data.calendar.datafile.HolidayCsvZipFileFormat
Gives a formatted file name of a data file.
FormException - Exception in com.numericalmethod.algoquant.util.gui.demo.backtest.controller
Thrown when there is an error in the form.
FormException(String) - Constructor for exception com.numericalmethod.algoquant.util.gui.demo.backtest.controller.FormException
 
Frame - Enum in com.numericalmethod.algoquant.util.gui.demo.backtest.view
 
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.
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
 
FrontTrimFilter<T> - Class in com.numericalmethod.algoquant.data.cache.processor.filter
Filters out the first n items in a cache.
FrontTrimFilter(int) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.filter.FrontTrimFilter
Constructs a filter that filters out the first n items.
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
 

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 DepthCacheFactory 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.
GBP - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.fx.Currencies
 
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 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.company.CompanyHistory
 
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
 
getAdjCloseMatrix(Interval) - Static method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
Deprecated.
 
getAllCompanyData() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB
 
getAllCompanyData() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
 
getAllCompanyHistories() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
 
getAllCompanyProfiles() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
getAllCompustatIDs() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB
 
getAllPrices() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
 
getAllStocks(SequentialCache<MarketSnapshot>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Gets all stocks for which there is data in any market snapshot.
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.data.export.xml.bean.ExecutionBean
 
getBeans(String, Collection<PerformanceMeasure>, PerformanceReport) - Static method in class com.numericalmethod.algoquant.data.export.xml.bean.PerformanceMeasureBean
 
getBeans(Collection<Product>) - Static method in class com.numericalmethod.algoquant.data.export.xml.bean.ProductBean
 
getBeta(DateTime, double[][]) - Method in class com.numericalmethod.algoquant.model.elliott2005.strategy.part.BetaCointegration
 
getBuckets(Set<S>) - Method in class com.numericalmethod.algoquant.model.factormodel.bucket.BucketingByFactorRanks
 
getBuckets(Set<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.BucketSizeAllocationFatMiddle
 
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.depth.cache.DepthCaches
 
getCachesTimes(DepthCaches) - Static method in class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
Collects a list of the DateTimes of each DepthCaches in the cache.
getCacheTimes(SequentialCache<?>) - Static method in class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
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<DateTime>, List<Double>, List<Double>, List<Double>, DateTime) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromMonthlyPrices(List<DateTime>, List<Double>, List<Double>, List<Double>) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromMonthlyReturns(List<DateTime>, List<Double>, List<Double>, List<Double>, DateTime) - Static method in class com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils
 
getCAPMFromMonthlyReturns(List<DateTime>, 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}
getCompanyData(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB
 
getCompanyHistories(String[]) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
 
getCompanyHistory(String) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatDB
 
getCompanyProfile(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.MovingDoubleArrayBySize
 
getCrossFXProduct(FXProduct, FXProduct) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
getCrossRateCache(FXProduct, FXProduct, DepthCacheFactory<FXProduct>, DepthCacheFactory<FXProduct>, Interval) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.fx.CrossFX
 
getDateTimeFormat() - Method in class com.numericalmethod.algoquant.data.historicaldata.csv.CsvColumnSpec
 
getDateTimeHeader() - Method in class com.numericalmethod.algoquant.data.historicaldata.csv.CsvColumnSpec
 
getDayStart(DateTime) - Method in class com.numericalmethod.algoquant.util.OneDaySpan
 
getDepthCachesFromSnapshots(RandomAccessCache<MarketSnapshot>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Gets the depth caches from the given market snapshots, including all stocks.
getDepthCachesFromSnapshots(RandomAccessCache<MarketSnapshot>, Collection<Stock>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Gets the depth caches from the given market snapshots, including only the selected stocks.
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.
getEndDate() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the endDate property.
getEquiTimeMarketSnapshots(SequentialCache<MarketSnapshot>, Period) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
 
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.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
 
getFactor() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy.Factors
Gets the value of the factor property.
getFactors() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy
Gets the value of the factors property.
getFactors(List<String>) - Static method in enum com.numericalmethod.algoquant.model.factormodel.qepm.factor.Factors
 
getFastLag() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLSMA2
Gets the value of the fastLag property.
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.ZeroCostFactorsPortfolioFactory.GroupGranularity
 
getHeaders(String, Factor[]) - Static method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PanelDataReturns
 
getHKMarketSnapshots(CompustatDB, Interval, List<Stock>) - Static method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
Gets MarketSnapshots from a CompustatDB data.
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
 
getInitialCapital() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the initialCapital property.
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.AAPL
 
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
 
getInstants(DepthCaches, Period) - Static method in class com.numericalmethod.algoquant.execution.performance.measure.ir.InformationRatioForPeriods
 
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, DepthCacheFactory<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
 
getMarketSnapshots(SequentialCache<Double>, SequentialCache<Double>, List<CompanyHistory>) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Constructs a cache of market snapshots from the given time series of market data over the whole time period available in the time series.
getMarketSnapshots(SequentialCache<Double>, SequentialCache<Double>, List<CompanyHistory>, Interval) - Static method in class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshotUtils
Constructs a cache of market snapshots from the given time series of market data for the given period.
getMarkowitzSolution() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.ComparisonSOCPMarkowitzDemo
 
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
 
getNTrials() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLMC
Gets the value of the nTrials property.
getObjectiveFunction(DepthCaches, 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(List<T>, Matrix) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelFixedLambda
 
getOptimalWeights(List<T>, Matrix) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelOptimalLambda
 
getOptimalWeights(Vector, Matrix, QPConstraints) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
 
getOptimalWeights(List<Stock>, Matrix) - 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(Interval) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.performance.PerformanceOptimizedPortfolio
 
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(List<T>, Matrix) - Method in interface com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolioTechnical.PortfolioOptimizer
Computes the optimal weights for the products using returns.
getOrders(Infantino2010PCA.Signal, Infantino2010Regime.Regime, Map<Product, Double>, Map<Product, Depth>) - Method in class com.numericalmethod.algoquant.model.infantino2010.strategy.order.Infantino2010LongShortConstantValue
 
getOrders(Infantino2010PCA.Signal, Infantino2010Regime.Regime, Map<Product, Double>, Map<Product, Depth>) - 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
 
getPerformanceMeasure() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation.PerformanceMeasures
Gets the value of the performanceMeasure property.
getPerformanceMeasures() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the performanceMeasures property.
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
 
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.Lehmann1900Weighting
 
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, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
getPositions(DateTime, TimerEvent, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolio
Computes the asset positions in a portfolio.
getPositions(DateTime, TimerEvent, MarketCondition, TradeBlotter, double) - Method in class com.numericalmethod.algoquant.model.strategy.rebalance.RebalancingPortfolioTechnical
 
getPremiums(DateTime, DateTime) - Method in interface com.numericalmethod.algoquant.model.factormodel.qepm.premium.PremiumRegression
Computes the premiums over a time-span.
getPremiums(DateTime, DateTime) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PremiumRegressionOLSOnePeriod
 
getPremiums(DateTime, DateTime) - Method in class com.numericalmethod.algoquant.model.factormodel.qepm.premium.PremiumRegressionPanelRegression
 
getPremiums(DateTime) - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategy
 
getPriceHeader() - Method in class com.numericalmethod.algoquant.data.historicaldata.csv.CsvColumnSpec
 
getPrices(PortfolioWeights<T>, MarketCondition) - 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
 
getProduct() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation.Products
Gets the value of the product property.
getProducts() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the products property.
getProductValues(PerformanceReport, Product) - Static method in class com.numericalmethod.algoquant.execution.performance.report.exporter.PerformanceReportCsvExporter
 
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(HKIBOR.Maturity) - Method in class com.numericalmethod.algoquant.data.historicaldata.hk.HKIBOR
 
getRebalancingPeriod() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLFactorStrategy
Gets the value of the rebalancingPeriod property.
getRef() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleArrayBySize
Get 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.MovingWindowOfSynchronousPriceBasket
 
getResolution() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLMC
Gets the value of the resolution property.
getResolution() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSA
Gets the value of the resolution property.
getReturnCalculator() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the returnCalculator property.
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
 
getSectorSet(GICSSector) - Static method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
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.
getSlowLag() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies.XMLSMA2
Gets the value of the slowLag property.
getSOCPSolution() - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.ComparisonSOCPMarkowitzDemo
 
getStartDate() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
Gets the value of the startDate property.
getStockEODCaches(Interval) - Static method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.NASDAQ100
Deprecated.
 
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
 
getTotalValues(PerformanceReport) - Static method in class com.numericalmethod.algoquant.execution.performance.report.exporter.PerformanceReportCsvExporter
 
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.
getUtilityValue(Vector) - Method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.ComparisonSOCPMarkowitzDemo
Computes the utility value given the optimal weights.
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
 
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: \[ w_{eff} = \arg\min \left \{ w'\Sigma w \right \} \\ \text{s.t.,} w'\mu = \mu*, w'1 = 1, w \geq w_{min} \]
getXLabel(T) - Method in interface com.numericalmethod.algoquant.execution.performance.plotter.MeanPerformancePlotter.XLabel
Gets the numeric x-axis label for a parameter.
getXMLFactorStrategy() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies
Gets the value of the xmlFactorStrategy property.
getXMLMC() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam
Gets the value of the xmlmc property.
getXMLSA() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam
Gets the value of the xmlsa property.
getXMLSimulation() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam
Gets the value of the xmlSimulation property.
getXMLSMA2() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLStrategies
Gets the value of the xmlsma2 property.
getXMLStrategies() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam
Gets the value of the xmlStrategies property.
getXMLStrategies() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerPanelRegression
 
getXMLStrategies() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerSMA2
 
getXMLStrategies() - Method in interface com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.XMLStrategiesReader
 
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.
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.usa.SectoredStock
 
gicsSector() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.stock.usa.SP500
 
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
 
GMA12Demo - Class in com.numericalmethod.algoquant.model.kst1995
Demonstrates Acar's framework of a trend following strategy.
GMA12Demo() - Constructor for class com.numericalmethod.algoquant.model.kst1995.GMA12Demo
 
GMT - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
GMT
gRule127() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.TAQTick
 
GSPC - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.usa
^GSPC is an index, not an actual fund.

H

H() - Method in class com.numericalmethod.algoquant.model.daspremont2008.strategy.MRModelKagi
 
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
 
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.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.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.SimpleStock
 
hashCode() - Method in class com.numericalmethod.algoquant.execution.datatype.trade.SimpleTrade
 
hasNext() - Method in class com.numericalmethod.algoquant.data.historicaldata.taq.FileBufferQueue
 
header() - Method in enum com.numericalmethod.algoquant.data.historicaldata.taq.TAQColumnHeader
 
header() - Method in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
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.data.export.pdf.content.text
A heading, with section numbers.
Heading(String) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.text.Heading
Creates a new entry with an empty section.
Heading(String, List<Integer>) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.text.Heading
Creates a new instance with the given heading.
help() - Static method in class com.numericalmethod.algoquant.execution.backtest.BacktestFromXMLApp
 
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.
HK_COMPUSTAT_DB - Static variable in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
The CompustatDB that is used for testing.
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, String) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.hkex.HKEXStock
Deprecated.
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
 
HKMA_RATES_FILE_PATH - Static variable in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
 
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
Creates 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
Creates 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
Creates 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
 
HSI_FILE_PATH - Static variable in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
 
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.SubStrategy
Gets the id, which was given to this component in the constructor.
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.data.export.pdf.content
Represents an image.
Image(String) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.Image
Creates a new image content.
Image(Chart, String) - Constructor for class com.numericalmethod.algoquant.data.export.pdf.content.Image
Creates a new image content from a chart.
index() - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.IndexedPortfolio
 
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
 
industryCode() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyData
 
industryCode() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyData
 
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.
Infantino2010ParamAnalysisDemo - Class in com.numericalmethod.algoquant.model.infantino2010.strategy
 
Infantino2010ParamAnalysisDemo(List<Stock>, Interval, ExchangeRateTable) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010ParamAnalysisDemo
 
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
 
Infantino2010PredictionAnalysisApp - Class in com.numericalmethod.algoquant.model.infantino2010.strategy
Analyzes the correlation between predicted returns and realized returns to check if the prediction algorithm has any prediction power.
Infantino2010PredictionAnalysisApp() - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010PredictionAnalysisApp
 
Infantino2010Strategy - Class in com.numericalmethod.algoquant.model.infantino2010.strategy
This strategy trades based on the signals generated by Infantino2010PCA and Infantino2010Regime.
Infantino2010Strategy(Infantino2010Strategy.Param) - Constructor for class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010Strategy
 
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.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
This measures 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
This measure 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
This class computes the Information Ratio (IR) for a zero-investment strategy, i.e., a 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.data.export.VelocityUtils
 
initialCapital - Variable in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParam.XMLSimulation
 
initialCapital() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
Gets the initial capital for the simulation.
initialCapital() - Method in class com.numericalmethod.algoquant.execution.strategy.ExecutionParam
 
initialize(SequentialCache<Depth>) - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2
Initializes the internal states of the strategy.
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerProgressBar
 
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerSimulation
Initializes the simulation parameters.
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerPanelRegression
 
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerSMA2
 
initialize() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerStrategy
 
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.SimulationParam
 
inSamplePeriodForBasketSelection() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
inSamplePeriodForClustering() - Method in interface com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParam
 
inSamplePeriodForClustering() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationParamSP500
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMain
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerProgressBar
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerSimulation
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerPanelRegression
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerSMA2
 
INSTANCE - Static variable in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.strategy.ControllerStrategy
 
Instantly - Class in com.numericalmethod.algoquant.model.util.frequency
The highest possible frequency.
Instantly() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Instantly
 
Intercept - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor
This factor will always has exposure of 1 and can hence be used as an the intercept in a regression, that is, alpha.
Intercept() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.Intercept
 
interval() - Method in class com.numericalmethod.algoquant.execution.backtest.parameter.BTParamSimulation
 
interval() - Method in interface com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCachesInfo
Gets the simulation interval, the times at which the simulation begins and ends.
interval() - Method in class com.numericalmethod.algoquant.execution.simulation.template.composite.SimTemplateComposite
 
interval() - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategySimTemplate
 
interval() - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2SimTemplate
 
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
IntroductionText - Class in com.numericalmethod.algoquant.util.gui.demo.backtest.view
 
IntroductionText() - Constructor for class com.numericalmethod.algoquant.util.gui.demo.backtest.view.IntroductionText
 
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 entries with NaN or Inf measure values.
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
 
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() - Method in class com.numericalmethod.algoquant.data.cache.TimedBuffer
Checks if this buffer contains no item.
isEmpty(SequentialCache<?>) - Static method in class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
Determines if the given cache is null or empty.
isEmpty() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleArrayBySize
 
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, CompustatAccountingData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB.CompanyPicker
 
isMatched(String, CompustatAccountingData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB.Filter
 
isMatched(CompustatCompanyData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB.CompanyPicker
 
isMatched(CompustatCompanyData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB.Filter
 
isMatched(String, CompustatTradingData) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB.CompanyPicker
 
isMatched(String, CompustatTradingData) - Method in interface com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB.Filter
 
isOK(StatefulCacheFilter.FilterState, TimedEntry<T>) - Method in class com.numericalmethod.algoquant.data.cache.processor.filter.FrontTrimFilter
 
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(Depth, 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(Depth, 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.SynchronousPriceBasket
 
isReady() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingDoubleArrayBySize
 
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.MovingWindowOfSynchronousPriceBasket
Returns true if there are enough points to fill the moving window.
isSameDay(DateTime, DateTime) - Method in class com.numericalmethod.algoquant.util.OneDaySpan
 
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
 
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.execution.component.chart.Array2XYSeriesAdaptor
 
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.SimpleTimeSeries2XYSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.chart.TimeSeriesAdaptor
 
iterator() - Method in class com.numericalmethod.algoquant.execution.component.simulator.event.timer.TimerEventCache
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.returns.ReturnsDepthCache
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.returns.ReturnsFromPriceSeries
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.returns.ReturnsFromReturnsSeries
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.returns.ReturnsFromRNG
 
iterator() - Method in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.CompanyHistory
 
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.company.CompanyHistory
 
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.company.CompanyHistory
 

J

JanuaryEffectStrategy - Class in com.numericalmethod.algoquant.execution.strategy.demo
A simple strategy to demonstrate the use of timer updates.
JanuaryEffectStrategy(Product, MonthDay, MonthDay) - Constructor for class com.numericalmethod.algoquant.execution.strategy.demo.JanuaryEffectStrategy
Constructs a new instance of the strategy.
JanuaryEffectStrategyDemo - Class in com.numericalmethod.algoquant.execution.strategy.demo
Demonstrates how to set up the simulator to simulate the tutorial strategy, JanuaryEffectStrategy.
JanuaryEffectStrategyDemo() - Constructor for class com.numericalmethod.algoquant.execution.strategy.demo.JanuaryEffectStrategyDemo
 
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(SimulationParam) - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.simulation.KagiMRBasketSimulation
 
KagiMRBasketSimulationDemo - Class in com.numericalmethod.algoquant.model.daspremont2008.simulation
 
KagiMRBasketSimulationDemo() - Constructor for class com.numericalmethod.algoquant.model.daspremont2008.simulation.KagiMRBasketSimulationDemo
 
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
 
KnightSatchellTran1995MLEDemo - Class in com.numericalmethod.algoquant.model.kst1995
Compares the fitted model with the real model.
KnightSatchellTran1995MLEDemo() - Constructor for class com.numericalmethod.algoquant.model.kst1995.KnightSatchellTran1995MLEDemo
 

L

label() - Method in class com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation
 
label - Variable in enum com.numericalmethod.algoquant.execution.component.chart.plotter.ExecutionAnnotation.Type
 
Lai2010NPEBModelDemo - Class in com.numericalmethod.algoquant.model.portfoliooptimization.lai2010
 
Lai2010NPEBModelDemo() - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelDemo
 
Lai2010NPEBModelFixedLambda<T 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<T 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).
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.company.CompanyHistory
 
lastTimestamp() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
lastTimestamp() - Method in class com.numericalmethod.algoquant.model.util.movingwindow.MovingWindowByPeriod
 
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.data.export.pdf.content
 
Layout(int, int) - Constructor for class com.numericalmethod.algoquant.data.export.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
 
Lehmann1900Weighting<T extends Product> - Class in com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting
This class weights products by their ranks.
Lehmann1900Weighting() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.Lehmann1900Weighting
 
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.QPConstraints
 
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.QPConstraints
 
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.QPConstraints
 
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(String, Map<PerformanceMeasure, Double>) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.LinearlyCombinedPerformanceMeasure
 
LiquidityFilter - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot
Filters out companies with low liquidity (measured by average dollar-volume and average price within a specified period).
LiquidityFilter(Interval, double, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot.LiquidityFilter
Constructs a filter with liquidity calculated during the period [startDate, endDate).
load() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB
Loads all data from the data file.
load(CompustatAccountingDB.Filter...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB
This method may be called multiple times for loading additional data.
load(String...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatAccountingDB
 
load(CompustatCompanyDB.Filter...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatCompanyDB
Loads company data from a ComputStat file with the given filters.
load() - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB
Loads all data from the data file.
load(CompustatTradingDataDB.Filter...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB
Loads trading data from a ComputStat file with the given filters.
load() - Method in enum com.numericalmethod.algoquant.data.historicaldata.sgx.SGXDataSource
 
loadCache(String, Product, CsvColumnSpec) - Method in class com.numericalmethod.algoquant.data.historicaldata.csv.CsvCacheLoader
Loads a depth cache from a well-defined CSV file with headers.
loadFromFile(String, FXProduct) - Static method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXCacheFactory
 
loadFXML() - Method in enum com.numericalmethod.algoquant.util.gui.demo.backtest.view.Frame
 
loadStocks(String...) - Method in class com.numericalmethod.algoquant.data.historicaldata.compustat.CompustatTradingDataDB
 
LocalhostSessionFactory - Class in com.numericalmethod.algoquant.data.historicaldata.bloomberg
Connects to Bloomberg at localhost port 8194.
LocalhostSessionFactory() - Constructor for class com.numericalmethod.algoquant.data.historicaldata.bloomberg.LocalhostSessionFactory
 
LoggingStrategyPlotter - Class in com.numericalmethod.algoquant.execution.component.chart.plotter
A decorator that allows convenient access to the data that was plotted.
LoggingStrategyPlotter() - Constructor for class com.numericalmethod.algoquant.execution.component.chart.plotter.LoggingStrategyPlotter
Creates a new instance that wraps a NoOpPlotter, i.e.
LoggingStrategyPlotter(StrategyPlotter) - Constructor for class com.numericalmethod.algoquant.execution.component.chart.plotter.LoggingStrategyPlotter
Creates a new instance that decorates the given plotter.
LogMarketCap - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor
Logarithm of market capitalization.
LogMarketCap() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.LogMarketCap
 
LONDON - Static variable in class com.numericalmethod.algoquant.data.calendar.TimeZoneUtils
London
longExposure() - Method in class com.numericalmethod.algoquant.execution.performance.rolling.RollingMaxExposure
 
longWeights() - Method in class com.numericalmethod.algoquant.execution.datatype.product.portfolio.weighting.PortfolioWeights
 
lookup(String) - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
lookup(List<String>) - Method in class com.numericalmethod.algoquant.execution.datatype.product.Symbol2Product
 
LOT_SIZE - Static variable in class com.numericalmethod.algoquant.model.daspremont2008.strategy.KagiMRStrategy
 
lotSize() - Method in interface com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.Param
 
lotSize() - Method in class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.SimpleParam
 
low - Variable in class com.numericalmethod.algoquant.data.historicaldata.yahoo.YahooEODCsvZipFileReader.YahooRow
 
low() - Method in class com.numericalmethod.algoquant.execution.datatype.OHLC
 
low() - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.DynamicOHLC
 
low(int) - Method in class com.numericalmethod.algoquant.model.signal.technical.ohlc.HighLows
Gets the bar with the lowest price over the given number of periods.

M

main(String[]) - Static method in class com.numericalmethod.algoquant.data.cache.util.DailyDataFileMaker
Example program.
main(String[]) - Static method in class com.numericalmethod.algoquant.data.historicaldata.bloomberg.BloombergTickDataDownloadApp
Downloads and saves the data to a specified data folder.
main(String[]) - Static method in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.preprocess.GainCapitalConverterApp
Processes real GainCapital raw files.
main(String[]) - Static method in class com.numericalmethod.algoquant.data.historicaldata.sgx.SGXTickDataCacheFactoryDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.backtest.BacktestFromXMLApp
Reads an XML input files, runs backtesting and generates a pdf report.
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.CandleStickDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.MultiChartDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.OHLCChartDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.RangeBarsDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.TimeSeriesChartDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.component.chart.demo.XYSeriesChartDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.BatchParameterizedSimulationDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.bootstrap.BootstrapSimulationSMA2Demo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.MCSimulationDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimulationTaskRunnerDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.simulation.batch.sensitivity.SensitivityAnalyzerDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.strategy.demo.JanuaryEffectStrategyDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.execution.strategy.demo.TutorialStrategyDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.dai2011.strategy.BootstrapSimulationDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.dai2011.strategy.Dai2011LongOnlyDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.KagiMRBasketSimulationDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.SimulationDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005StrategyDemo1
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.elliott2005.strategy.Elliott2005StrategyDemo2
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantileDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010ParamAnalysisDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.infantino2010.strategy.Infantino2010PredictionAnalysisApp
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.jurek2007.OULogSpreadCRRASignalDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.kst1995.GMA12Demo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.kst1995.KnightSatchellTran1995MLEDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005.Corvalan2005Demo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.lai2010.Lai2010NPEBModelDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.performance.PerformanceOptimizedYahooEODPortfolioDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.portfoliooptimization.socp.ComparisonSOCPMarkowitzDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2Demo010
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2Demo011
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2Demo020
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2DynamicDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.volume.AccumulationDistributionLineDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.signal.technical.volume.ChaikinMoneyFlowDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MeanReversionPortfolioDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MRModelFixedGridDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MRModelFixedGridOnSGXDataDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MRModelPeriodicDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MRModelRanged1Demo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.model.volarb.MRModelRanged2Demo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.RunAllDemo
 
main(String[]) - Static method in class com.numericalmethod.algoquant.util.gui.demo.backtest.DemoBacktestApp
 
make(String, SequentialCache<T>, int, DailyDataFileMaker.RowMaker<T>) - Method in class com.numericalmethod.algoquant.data.cache.util.DailyDataFileMaker
Converts and saves the sampled data in a file.
makeHeaders(PerformanceReport) - Static method in class com.numericalmethod.algoquant.execution.performance.report.exporter.PerformanceReportCsvExporter
 
makeRow(TimedEntry<T>) - Method in interface com.numericalmethod.algoquant.data.cache.util.DailyDataFileMaker.RowMaker
Converts an entry into a row in the csv.zip file.
MapOfExceptions - Exception in com.numericalmethod.algoquant.util
Maps from parameters to the exceptions thrown during a batch processing of tasks.
MapOfExceptions(Map<?, Throwable>) - Constructor for exception com.numericalmethod.algoquant.util.MapOfExceptions
 
market() - Method in enum com.numericalmethod.algoquant.execution.datatype.product.fx.FXMajor
 
market() - Method in interface com.numericalmethod.algoquant.execution.datatype.product.fx.FXProduct
Gets the name of the exchange, ECN, etc., where the instrument is traded.
market() - Method in class com.numericalmethod.algoquant.execution.datatype.product.fx.SimpleFXProduct
 
MarketCap - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure
Market capitalization (often market cap) is a measurement of the size of a business enterprise (corporation) equal to the share price times the number of shares outstanding (shares that have been authorized, issued, and purchased by investors) of a publicly traded company.
MarketCap() - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.MarketCap
 
MarketComponent - Class in com.numericalmethod.algoquant.execution.component.simulator.market
This Component handles input/output of a market.
MarketComponent(SimMarket, ChannelInput<? extends TimedEntry<? extends Depth>>, ChannelInput<? extends BrokerMessage>, ChannelSelector, MarketComponent.MarketOperator) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.MarketComponent
 
MarketComponent.MarketOperator - Class in com.numericalmethod.algoquant.execution.component.simulator.market
 
marketCondition() - Method in class com.numericalmethod.algoquant.execution.component.simulator.ContextStrategy
 
marketCondition() - Method in class com.numericalmethod.algoquant.execution.component.simulator.message.ChannelMessage
 
MarketCondition - Interface in com.numericalmethod.algoquant.execution.datatype.depth.marketcondition
This class provides a strategy a snapshot of all market conditions such as depths of various products, etc.
MarketConditionUtils - Class in com.numericalmethod.algoquant.execution.datatype.depth.marketcondition
This is the utility class to manipulate MarketCondition.
MarketConditionUtils() - Constructor for class com.numericalmethod.algoquant.execution.datatype.depth.marketcondition.MarketConditionUtils
 
MarketOperator(ChannelOutput<TimedEntry<? extends Event>>) - Constructor for class com.numericalmethod.algoquant.execution.component.simulator.market.MarketComponent.MarketOperator
 
MarketOperator - Interface in com.numericalmethod.algoquant.execution.component.simulator.market
This interface defines a helper class which assists a market instance to announce price updates, order fills, etc.
MarketOrder - Class in com.numericalmethod.algoquant.execution.datatype.order
A market order which always gets executed immediately, assuming there are willing buyers and sellers.
MarketOrder(Product, BasicOrderDescription.Side, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.order.MarketOrder
 
MarketOrder(Product, double) - Constructor for class com.numericalmethod.algoquant.execution.datatype.order.MarketOrder
 
marketReturn() - Method in interface com.numericalmethod.algoquant.model.factormodel.capm.CAPMUtils.Snapshot
 
MarketSnapshot - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.market
The market state at a particular point in time.
MarketSnapshot(double, double, Collection<CompanyProfile>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketSnapshot
Constructs an instance given the values of the benchmark and companies' profiles.
MarketSnapshotFilter - Interface in com.numericalmethod.algoquant.execution.datatype.product.stock.company.filter.marketsnapshot
An interface for classes which filter stocks out of those present in a given cache of market snapshots.
MarketSnapshotHandler - Interface in com.numericalmethod.algoquant.execution.strategy.handler
Interface for strategies to implement to listen to MarketSnapshot updates.
MarketSnapshotUtils - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.market
Utility methods for creating and manipulating market snapshots.
MarketTimeSeries - Class in com.numericalmethod.algoquant.execution.datatype.product.stock.market
This class extracts individual lists of monthly data from a window of MarketSnapshots.
MarketTimeSeries(SequentialCache<MarketSnapshot>) - Constructor for class com.numericalmethod.algoquant.execution.datatype.product.stock.market.MarketTimeSeries
 
Markowitz1952 - Class in com.numericalmethod.algoquant.model.portfoliooptimization.markowitz
This implements Markowitz's 1952 paper as a portfolio optimizer.
Markowitz1952(Period, ReturnsCalculator, QPConstraints) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
 
Markowitz1952(QPConstraints) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
 
Markowitz1952() - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.Markowitz1952
 
MarkowitzDemo - Class in com.numericalmethod.algoquant.model.portfoliooptimization.markowitz
 
MarkowitzPortfolio - Class in com.numericalmethod.algoquant.model.portfoliooptimization.markowitz
Modern portfolio theory (MPT) is a theory of investment which attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.
MarkowitzPortfolio(Vector, Matrix, QPConstraints, double) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Constructs a Markowitz portfolio from expected future returns and future covariance.
MarkowitzPortfolio(Vector, Matrix, QPConstraints) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Constructs a Markowitz portfolio from expected future returns and future covariance, assuming zero benchmark rate for Sharpe ratio calculation.
MarkowitzPortfolio(Vector, Matrix) - Constructor for class com.numericalmethod.algoquant.model.portfoliooptimization.markowitz.MarkowitzPortfolio
Constructs a Markowitz portfolio from expected future returns and future covariance, assuming no short selling constraint and zero benchmark rate.
MarkowitzUtils - Class in com.numericalmethod.algoquant.model.portfoliooptimization.markowitz
This is a collection of utilities to compute Markowitz optimal portfolio weightings in different settings.
Max - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureCalculatorUtils
 
MAX_CACHED_BUFFER_ENTRIES - Static variable in class com.numericalmethod.algoquant.data.historicaldata.gaincapital.GainCapitalFXCacheFactory
the default maximum number of entries in the cache for loaded files
MaxDrawdown - Class in com.numericalmethod.algoquant.execution.performance.measure
This class computes the maximum drawdown in absolute amount.
MaxDrawdown() - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdown
 
MaxDrawdownDuration - Class in com.numericalmethod.algoquant.execution.performance.measure
This measure computes the maximum drawdown duration.
MaxDrawdownDuration(Duration) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownDuration
Constructs an instance with an unit of the output duration.
MaxDrawdownPercentage - Class in com.numericalmethod.algoquant.execution.performance.measure
This class computes the maximum drawdown in terms of percentage relative to the high water mark of the running pnl.
MaxDrawdownPercentage(double) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.MaxDrawdownPercentage
Constructs an instance with the initial capital amount.
MaxExposure - Class in com.numericalmethod.algoquant.execution.performance.measure
This measure dynamically computes the maximum amount of capital spent.
MaxExposure(RollingMaxExposure.ExposureType) - Constructor for class com.numericalmethod.algoquant.execution.performance.measure.MaxExposure
 
mcContent(int, int) - Static method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentMC
 
mcParam() - Method in class com.numericalmethod.algoquant.util.gui.demo.backtest.controller.ControllerMC
 
MCSimContext<P extends Product> - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
A MC generates hypothetical prices based on the historical prices, same initial prices, same timestamps.
MCSimContext(List<P>, Map<P, Double>, List<DateTime>) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimContext
 
MCSimulation - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo
Runs a Monte Carlo simulation for a strategy using simulated order books.
MCSimulation(StrategyFactory<?, Void>, MCSimulation.DepthCachesFactory, ExchangeRateTable, SimulatorBuilderFactory, PerformanceAnalyzer) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.MCSimulation
Constructs a Monte Carlo simulator.
MCSimulation(SimTemplate, MCSimulation.DepthCachesFactory, SimulatorBuilderFactory) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.MCSimulation
Constructs a Monte Carlo simulator.
MCSimulation.DepthCachesFactory - Interface in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo
 
MCSimulationDemo - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo
This example, using Monte Carlo simulation, runs the GMA12 strategy on returns generated from a KnightSatchellTran1995 model.
MCSimulationTask<P> - Interface in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Represents a task that is executed by MCSimulationTaskRunner.
MCSimulationTaskRunner - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
Performs Monte Carlo simulations for a number of MCSimulationTasks, e.g., different return models.
MCSimulationTaskRunner(SimTemplate, SimulatorBuilderFactory, int) - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimulationTaskRunner
Constructs a new instance with the given parameters.
MCSimulationTaskRunnerDemo - Class in com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task
 
MCSimulationTaskRunnerDemo() - Constructor for class com.numericalmethod.algoquant.execution.simulation.batch.montecarlo.task.MCSimulationTaskRunnerDemo
 
mcTasks(BTParamMC) - Method in interface com.numericalmethod.algoquant.execution.backtest.BacktestTemplate
Gets the Monte Carlo simulation tasks.
mcTasks(BTParamMC) - Method in class com.numericalmethod.algoquant.model.factormodel.strategy.FactorStrategyBacktestTemplate
 
mcTasks(BTParamMC) - Method in class com.numericalmethod.algoquant.model.signal.technical.crossover.sma2.SMA2BacktestTemplate
 
mcText(int, int) - Static method in class com.numericalmethod.algoquant.execution.backtest.content.BTContentMC
 
Mean - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureCalculatorUtils
 
mean() - Method in class com.numericalmethod.algoquant.model.volarb.MeanEstimatorConstant
 
MeanEstimatorConstant - Class in com.numericalmethod.algoquant.model.volarb
This implementation returns a constant mean.
MeanEstimatorConstant(double) - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanEstimatorConstant
 
MeanEstimatorConstant() - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanEstimatorConstant
 
MeanPerformancePlotter<T> - Class in com.numericalmethod.algoquant.execution.performance.plotter
Plots, for a performance measure, the means of the distributions of the parameters.
MeanPerformancePlotter(String, String, MeanPerformancePlotter.XLabel<T>, MeanPerformancePlotter.PlotType) - Constructor for class com.numericalmethod.algoquant.execution.performance.plotter.MeanPerformancePlotter
Constructs a new instance with the given parameters.
MeanPerformancePlotter(String, String, MeanPerformancePlotter.XLabel<T>) - Constructor for class com.numericalmethod.algoquant.execution.performance.plotter.MeanPerformancePlotter
MeanPerformancePlotter.PlotType - Enum in com.numericalmethod.algoquant.execution.performance.plotter
Defines the two types of plots this class supports.
MeanPerformancePlotter.XLabel<T> - Interface in com.numericalmethod.algoquant.execution.performance.plotter
Converts/translates a parameter label to a numeric label on the x-axis.
meanReturns(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).
meanReturns(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).
MeanReversionAroundLongTermMeanConstantCoefficients - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This strategy trades mean reversion around the mean defined as the estimated long term mean of the spread.
MeanReversionAroundLongTermMeanConstantCoefficients(Vector, double, double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundLongTermMeanConstantCoefficients
 
MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This strategy trades mean reversion around the mean defined as the estimated "true" hidden spread.
MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients(double, double, double, double, double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateCointegratedCoefficients
 
MeanReversionAroundPosterioriStateEstimateConstantCoefficients - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This strategy trades mean reversion around the mean defined as the estimated "true" hidden spread.
MeanReversionAroundPosterioriStateEstimateConstantCoefficients(Vector, double, double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionAroundPosterioriStateEstimateConstantCoefficients
 
MeanReversionBasedOnSpreadQuantile - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
This strategy trades mean reversion around the mean defined as the estimated long term mean of the spread.
MeanReversionBasedOnSpreadQuantile(Vector, double, double) - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantile
 
MeanReversionBasedOnSpreadQuantileDemo - Class in com.numericalmethod.algoquant.model.elliott2005.strategy
Run a Elliott mean reversion strategy, coded up using a template.
MeanReversionBasedOnSpreadQuantileDemo() - Constructor for class com.numericalmethod.algoquant.model.elliott2005.strategy.MeanReversionBasedOnSpreadQuantileDemo
 
MeanReversionPortfolio - Class in com.numericalmethod.algoquant.model.volarb
A portfolio of multiple mean reversion strategies using different models.
MeanReversionPortfolio(Basket<Product>, double, MeanReversionPortfolio.SubStrategy[], boolean) - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanReversionPortfolio
Creates a new instance, which has a fixed basket and lot size, but may contain different types of mean reversion models with different scales.
MeanReversionPortfolio.SubStrategy - Class in com.numericalmethod.algoquant.model.volarb
A component of a MeanReversionPortfolio.
MeanReversionPortfolioDemo - Class in com.numericalmethod.algoquant.model.volarb
Demonstrates how to create a MeanReversionPortfolio with different grid sizes.
MeanReversionPortfolioDemo() - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanReversionPortfolioDemo
 
MeanReversionStrategy - Class in com.numericalmethod.algoquant.model.volarb
 
MeanReversionStrategy(Basket<Product>, MRModel, double, double) - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy
 
MeanReversionStrategy(MeanReversionStrategy.Param) - Constructor for class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy
 
MeanReversionStrategy.Factory - Class in com.numericalmethod.algoquant.model.volarb
 
MeanReversionStrategy.Param - Interface in com.numericalmethod.algoquant.model.volarb
 
MeanReversionStrategy.SimpleParam - Class in com.numericalmethod.algoquant.model.volarb
 
MeasureFactor - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor
 
MeasureFactor(CompanyMeasure) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.MeasureFactor
 
measures() - Method in interface com.numericalmethod.algoquant.execution.performance.report.PerformanceReport
 
measures() - Method in class com.numericalmethod.algoquant.model.daspremont2008.simulation.Simulation
 
MeasureStockPortfolio - Class in com.numericalmethod.algoquant.execution.simulation.template.composite
Adds a commonly used set of performance measures to a SimTemplateComposite.
MeasureStockPortfolio(double, double, Period, ReturnsCalculator, double) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.MeasureStockPortfolio
Constructs a commonly used set of performance measures for a stock portfolio.
MeasureStockPortfolio(double, double, Period) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.MeasureStockPortfolio
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0.
MeasureStockPortfolio(double, double) - Constructor for class com.numericalmethod.algoquant.execution.simulation.template.composite.MeasureStockPortfolio
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0, and the information ratio is computed over the period of one year.
MeasureToTimeSeries - Class in com.numericalmethod.algoquant.execution.performance.rolling
Gathers the measure values over time and converts them to a time series.
MeasureToTimeSeries(RollingMeasure) - Constructor for class com.numericalmethod.algoquant.execution.performance.rolling.MeasureToTimeSeries
 
MeasureUtils - Class in com.numericalmethod.algoquant.execution.performance.measure
 
merge(Collection<? extends SequentialCache<? extends T>>) - Static method in class com.numericalmethod.algoquant.data.cache.util.DataCacheUtils
Merges multiple caches as one cache.
merge(DepthCaches) - Method in class com.numericalmethod.algoquant.execution.datatype.depth.cache.DepthCaches
Merges another instance with this instance.
MessageAddOrder - Class in com.numericalmethod.algoquant.execution.component.broker.message
A BrokerMessage to add new orders.
MessageAddOrder(Collection<? extends Order>) - Constructor for class com.numericalmethod.algoquant.execution.component.broker.message.MessageAddOrder
 
MessageCancelOrder - Class in com.numericalmethod.algoquant.execution.component.broker.message
A BrokerMessage to cancel orders.
MessageCancelOrder(Collection<? extends Order>) - Constructor for class com.numericalmethod.algoquant.execution.component.broker.message.MessageCancelOrder
 
mid() - Method in class com.numericalmethod.algoquant.execution.datatype.depth.Depth
Gets the mid-price between bid and ask.
midPrices() - Method in class com.numericalmethod.algoquant.execution.datatype.SynchronousPriceBasket
 
Min - Static variable in class com.numericalmethod.algoquant.execution.datatype.product.stock.company.measure.CompanyMeasureCalculatorUtils
 
Minimizer(double) - Constructor for class com.numericalmethod.algoquant.execution.strategy.StrategyOptimizer.Minimizer
 
Minute - Class in com.numericalmethod.algoquant.model.util.frequency
Every minute, starting at the beginning of the minute and ending just before the beginning of the next minute.
Minute() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Minute
 
MissingRateException(Currency, Currency) - Constructor for exception com.numericalmethod.algoquant.execution.datatype.fxrate.ExchangeRateTable.MissingRateException
 
model() - Method in interface com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.Param
 
model() - Method in class com.numericalmethod.algoquant.model.volarb.MeanReversionStrategy.SimpleParam
 
Momentum - Class in com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting
Momentum is defined as the asset's return in an earlier period of time, say, 6 months.
Momentum(int, int) - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.Momentum
 
Momentum() - Constructor for class com.numericalmethod.algoquant.model.factormodel.qepm.factor.accounting.Momentum
 
Monthly - Class in com.numericalmethod.algoquant.model.util.frequency
A monthly frequency starting at 0:00am on the 1st of the month in the given time and ending just before the end of that month.
Monthly() - Constructor for class com.numericalmethod.algoquant.model.util.frequency.Monthly
 
MovingAverageCacheTransformer<T> - Class in com.numericalmethod.algoquant.data.cache.processor.transformer
Transforms a cache of double values into its moving averages.
MovingAverageCacheTransformer(double[], DoubleDataTransformer<T>, boolean) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.MovingAverageCacheTransformer
Constructs a moving average transformer.
MovingAverageCacheTransformer(int, DoubleDataTransformer<T>, boolean) - Constructor for class com.numericalmethod.algoquant.data.cache.processor.transformer.MovingAverageCacheTransformer
Constructs a simple moving average transformer.
MovingAverageCrossover - Class in com.numericalmethod.algoquant.model.signal.technical.crossover
Defines a set of arithmetic moving averages and checks their crossover statuses.
MovingAverageCrossover(int...) - Constructor for class com.numericalmethod.algoquant.model.signal.technical.crossover.