Contents:
Installation
Notebook Gallery
Module Documentation
Sample and Test Data
Developer Guide
Glossary
Index
Search Page
rivapy
Index
Index
_
|
A
|
B
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C
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D
|
E
|
F
|
G
|
H
|
I
|
J
|
L
|
M
|
N
|
O
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P
|
R
|
S
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T
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U
|
V
|
W
|
Y
|
Z
_
_create_sample() (rivapy.instruments.bond_specifications.PlainVanillaCouponBondSpecification static method)
(rivapy.instruments.bond_specifications.ZeroCouponBondSpecification static method)
(rivapy.instruments.components.Issuer static method)
A
ACT252 (rivapy.tools.enums.DayCounterType attribute)
ACT360 (rivapy.tools.enums.DayCounterType attribute)
Act365Fixed (rivapy.tools.enums.DayCounterType attribute)
ACT_ACT (rivapy.tools.enums.DayCounterType attribute)
AmericanPdePricingData (class in rivapy.pricing.pricing_data)
AmericanVanillaSpecification (class in rivapy.instruments)
apply() (rivapy.marketdata_tools.CategoricalRegression method)
(rivapy.marketdata_tools.PFCShaper method)
apply_mc_step() (rivapy.models.HestonModel method)
(rivapy.models.LocalVol method)
(rivapy.models.OrnsteinUhlenbeck method)
(rivapy.models.ScottChesneyModel method)
(rivapy.models.StochasticLocalVol method)
B
backwards (rivapy.tools.Schedule property)
BarrierSpecification (class in rivapy.instruments)
BasePricingData (class in rivapy.pricing.pricing_data)
Black76PricingData (class in rivapy.pricing.pricing_data)
bond (rivapy.pricing.pricing_data.BondPricingData property)
BondPricingData (class in rivapy.pricing.pricing_data)
BondPricingParameter (class in rivapy.pricing.pricing_data)
business_day_convention (rivapy.tools.Schedule property)
C
calc_implied_vol() (rivapy.marketdata.VolatilityGridParametrization method)
(rivapy.marketdata.VolatilityParametrizationSSVI method)
(rivapy.marketdata.VolatilitySurface method)
calendar (rivapy.tools.Schedule property)
calibrate() (rivapy.marketdata_tools.CategoricalRegression method)
(rivapy.marketdata_tools.PFCShaper method)
(rivapy.models.OrnsteinUhlenbeck method)
(rivapy.models.WindPowerModel static method)
calibrate_MC() (rivapy.models.StochasticLocalVol method)
call_price() (rivapy.models.HestonModel method)
Cash Flow
CategoricalRegression (class in rivapy.marketdata_tools)
CDSPricingData (class in rivapy.pricing.pricing_data)
CDSSpecification (class in rivapy.instruments.cds_specification)
COLLATERALIZED (rivapy.tools.enums.SecuritizationLevel attribute)
ComboSpecification (class in rivapy.instruments)
compute() (rivapy.marketdata.NelsonSiegel static method)
(rivapy.marketdata.NelsonSiegelSvensson static method)
(rivapy.marketdata_tools.PFCShifter method)
(rivapy.models.SupplyFunction method)
(rivapy.tools.interfaces.DateTimeFunction method)
compute_call_price() (rivapy.models.OrnsteinUhlenbeck method)
compute_european_price_Buehler() (in module rivapy.pricing.analytics)
compute_expected_value() (rivapy.models.LuciaSchwartz method)
(rivapy.models.OrnsteinUhlenbeck method)
compute_flows() (rivapy.instruments.GreenPPASpecification method)
(rivapy.instruments.PPASpecification method)
compute_fwd_value() (rivapy.models.LuciaSchwartz method)
compute_implied_vol_Buehler() (in module rivapy.pricing.analytics)
compute_local_var() (rivapy.models.LocalVol static method)
conditional_probability_density() (rivapy.models.OrnsteinUhlenbeck method)
CONSTANT (rivapy.tools.enums.ExtrapolationType attribute)
(rivapy.tools.enums.InflationInterpolation attribute)
(rivapy.tools.enums.InterpolationType attribute)
ConstantRate (class in rivapy.marketdata)
CONSTRAINED_SPLINE (rivapy.tools.enums.InterpolationType attribute)
country (rivapy.instruments.components.Issuer property)
CreditDefaultData (class in rivapy.sample_data.market_data.credit_default)
D
DateTimeFunction (class in rivapy.tools.interfaces)
DateTimeGrid (class in rivapy.tools)
DayCounterType (class in rivapy.tools.enums)
days (rivapy.tools.Period property)
DELTA (rivapy.pricing.pricing_data.ResultType attribute)
detect_redundant_contracts() (rivapy.marketdata_tools.PFCShifter method)
discount_curve (rivapy.pricing.pricing_data.BondPricingData property)
DiscountCurve (class in rivapy.marketdata)
DiscountCurveParametrized (class in rivapy.marketdata)
DividendTable (class in rivapy.marketdata)
DocStringExample (class in rivapy.tools.example_docstring)
E
end_day (rivapy.tools.Schedule property)
EnergyFutureSpecifications (class in rivapy.instruments)
EnergyPriceForwardCurve (class in rivapy.marketdata)
EQUITY (rivapy.tools.enums.SecuritizationLevel attribute)
EquityForwardCurve (class in rivapy.marketdata)
esg_rating (rivapy.instruments.components.Issuer property)
EuropeanVanillaSpecification (class in rivapy.instruments)
eval_call_functions() (rivapy.models.WindPowerForecastModel static method)
expected_cashflows() (rivapy.instruments.bond_specifications.PlainVanillaCouponBondSpecification method)
(rivapy.instruments.bond_specifications.ZeroCouponBondSpecification method)
ExtrapolationType (class in rivapy.tools.enums)
F
Fair Value
feller_condition() (rivapy.models.HestonModel method)
fixing_curve (rivapy.pricing.pricing_data.BondPricingData property)
FOLLOWING (rivapy.tools.enums.RollConvention attribute)
from_existing_pfc() (rivapy.marketdata.EnergyPriceForwardCurve class method)
from_existing_shape() (rivapy.marketdata.EnergyPriceForwardCurve class method)
from_scratch() (rivapy.marketdata.EnergyPriceForwardCurve class method)
from_string() (rivapy.tools.Period static method)
G
GAMMA (rivapy.pricing.pricing_data.ResultType attribute)
GasSchedule (class in rivapy.tools)
generate_dates() (rivapy.tools.Schedule method)
generate_synthetic_contracts() (rivapy.marketdata_tools.PFCShifter method)
generate_transition_matrix() (rivapy.marketdata_tools.PFCShifter method)
GERMAN (rivapy.tools.enums.InflationInterpolation attribute)
get() (rivapy.models.LinearDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.MultiRegionWindForecastModel.ForwardSimulationResult method)
(rivapy.models.ResidualDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.WindPowerForecastModel.ForwardSimulationResult method)
get_curve() (rivapy.sample_data.market_data.spread_curves.SpreadCurveCollection method)
(rivapy.sample_data.market_data.spread_curves.SpreadCurveSampler method)
get_daily_subgrid() (rivapy.tools.DateTimeGrid method)
get_dates() (rivapy.marketdata.DiscountCurve method)
get_day_of_week() (rivapy.tools.DateTimeGrid method)
get_day_of_year() (rivapy.tools.DateTimeGrid method)
get_df() (rivapy.marketdata.DiscountCurve method)
get_end() (rivapy.instruments.EnergyFutureSpecifications method)
get_eta() (rivapy.marketdata.VolatilityParametrizationSSVI method)
get_forward() (rivapy.models.WindPowerForecastModel method)
get_fwd_atm_vols() (rivapy.marketdata.VolatilityParametrizationSSVI method)
get_gamma() (rivapy.marketdata.VolatilityParametrizationSSVI method)
get_hour_of_day() (rivapy.tools.DateTimeGrid method)
get_initial_value() (rivapy.models.HestonModel method)
(rivapy.models.StochasticLocalVol method)
get_minute_of_day() (rivapy.tools.DateTimeGrid method)
get_pfc() (rivapy.marketdata.EnergyPriceForwardCurve method)
get_price() (rivapy.instruments.EnergyFutureSpecifications method)
get_rho() (rivapy.marketdata.VolatilityParametrizationSSVI method)
get_schedule() (rivapy.instruments.EnergyFutureSpecifications method)
(rivapy.instruments.PPASpecification method)
get_start() (rivapy.instruments.EnergyFutureSpecifications method)
get_start_end() (rivapy.instruments.EnergyFutureSpecifications method)
get_technology() (rivapy.models.LinearDemandForwardModel method)
(rivapy.models.ResidualDemandForwardModel method)
getPrice() (rivapy.pricing.pricing_data.PricingResults method)
GreenPPAPricingRequest (class in rivapy.pricing.pricing_request)
GreenPPASpecification (class in rivapy.instruments)
H
HAGAN (rivapy.tools.enums.InterpolationType attribute)
HAGAN_DF (rivapy.tools.enums.InterpolationType attribute)
HestonModel (class in rivapy.models)
I
InflationInterpolation (class in rivapy.tools.enums)
InterpolationType (class in rivapy.tools.enums)
Issuer (class in rivapy.instruments.components)
J
JAPAN (rivapy.tools.enums.InflationInterpolation attribute)
L
LINEAR (rivapy.tools.enums.ExtrapolationType attribute)
(rivapy.tools.enums.InterpolationType attribute)
LINEAR_LOG (rivapy.tools.enums.ExtrapolationType attribute)
(rivapy.tools.enums.InterpolationType attribute)
LinearDemandForwardModel (class in rivapy.models)
LinearDemandForwardModel.ForwardSimulationResult (class in rivapy.models)
load() (rivapy.marketdata.VolatilitySurface static method)
LoadModel (class in rivapy.models)
LocalVol (class in rivapy.models)
LuciaSchwartz (class in rivapy.models)
M
MemoryExpressSpecification (class in rivapy.instruments)
MEZZANINE (rivapy.tools.enums.SecuritizationLevel attribute)
MODIFIED_FOLLOWING (rivapy.tools.enums.RollConvention attribute)
MODIFIED_FOLLOWING_BIMONTHLY (rivapy.tools.enums.RollConvention attribute)
MODIFIED_FOLLOWING_EOM (rivapy.tools.enums.RollConvention attribute)
MODIFIED_PRECEDING (rivapy.tools.enums.RollConvention attribute)
module
rivapy.instruments.cds_specification
rivapy.pricing.analytics
rivapy.pricing.pricing_data
months (rivapy.tools.Period property)
MultiRegionWindForecastModel (class in rivapy.models)
MultiRegionWindForecastModel.ForwardSimulationResult (class in rivapy.models)
MultiRegionWindForecastModel.Region (class in rivapy.models)
N
n_deliveries() (rivapy.instruments.PPASpecification method)
n_forwards() (rivapy.models.LinearDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.MultiRegionWindForecastModel.ForwardSimulationResult method)
(rivapy.models.ResidualDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.WindPowerForecastModel.ForwardSimulationResult method)
n_random() (rivapy.models.MultiRegionWindForecastModel.Region method)
name (rivapy.instruments.components.Issuer property)
name() (rivapy.models.MultiRegionWindForecastModel.Region method)
NEAREST (rivapy.tools.enums.RollConvention attribute)
NelsonSiegel (class in rivapy.marketdata)
NelsonSiegelSvensson (class in rivapy.marketdata)
NON_PREFERRED_SENIOR (rivapy.tools.enums.SecuritizationLevel attribute)
NONE (rivapy.tools.enums.ExtrapolationType attribute)
(rivapy.tools.enums.SecuritizationLevel attribute)
(rivapy.tools.enums.VolatilityStickyness attribute)
normalize_shape() (rivapy.marketdata_tools.PFCShaper method)
O
obj_id (rivapy.instruments.components.Issuer property)
OffPeakSchedule (class in rivapy.tools)
OrnsteinUhlenbeck (class in rivapy.models)
P
par_spread() (rivapy.pricing.pricing_data.CDSPricingData method)
parameters (rivapy.pricing.pricing_data.BondPricingData property)
past_fixing (rivapy.pricing.pricing_data.BondPricingData property)
PeakSchedule (class in rivapy.tools)
Period (class in rivapy.tools)
PFCShaper (class in rivapy.marketdata_tools)
PFCShifter (class in rivapy.marketdata_tools)
PlainVanillaCouponBondSpecification (class in rivapy.instruments.bond_specifications)
plot() (rivapy.marketdata.DiscountCurve method)
(rivapy.marketdata.EquityForwardCurve method)
(rivapy.models.SupplyFunction method)
PPASpecification (class in rivapy.instruments)
PRECEDING (rivapy.tools.enums.RollConvention attribute)
PREFERRED_SENIOR (rivapy.tools.enums.SecuritizationLevel attribute)
PRICE (rivapy.pricing.pricing_data.ResultType attribute)
price() (rivapy.pricing.pricing_data.AmericanPdePricingData method)
(rivapy.pricing.pricing_data.Black76PricingData method)
(rivapy.pricing.pricing_data.CDSPricingData method)
pricer (rivapy.pricing.pricing_data.BasePricingData property)
pricing_request (rivapy.pricing.pricing_data.BasePricingData property)
PricingResults (class in rivapy.pricing.pricing_data)
R
RainbowSpecification (class in rivapy.instruments)
rating (rivapy.instruments.components.Issuer property)
recovery_curve (rivapy.pricing.pricing_data.BondPricingData property)
region_names() (rivapy.models.MultiRegionWindForecastModel method)
region_relative_capacity() (rivapy.models.MultiRegionWindForecastModel method)
ResidualDemandForwardModel (class in rivapy.models)
ResidualDemandForwardModel.ForwardSimulationResult (class in rivapy.models)
ResidualDemandModel (class in rivapy.models)
ResultType (class in rivapy.pricing.pricing_data)
RHO (rivapy.pricing.pricing_data.ResultType attribute)
rivapy.instruments.cds_specification
module
rivapy.pricing.analytics
module
rivapy.pricing.pricing_data
module
rnd_shape() (rivapy.models.LinearDemandForwardModel method)
(rivapy.models.LoadModel method)
(rivapy.models.LuciaSchwartz method)
(rivapy.models.MultiRegionWindForecastModel method)
(rivapy.models.OrnsteinUhlenbeck method)
(rivapy.models.ResidualDemandForwardModel method)
(rivapy.models.SolarPowerModel method)
(rivapy.models.WindPowerForecastModel method)
(rivapy.models.WindPowerModel method)
RollConvention (class in rivapy.tools.enums)
S
sample() (rivapy.sample_data.market_data.credit_default.CreditDefaultData static method)
(rivapy.sample_data.market_data.spread_curves.SpreadCurveSampler method)
sample_new() (rivapy.sample_data.market_data.spread_curves.SpreadCurveSampler method)
Schedule (class in rivapy.tools)
ScottChesneyModel (class in rivapy.models)
sector (rivapy.instruments.components.Issuer property)
SecuritizationLevel (class in rivapy.tools.enums)
SENIOR_SECURED (rivapy.tools.enums.SecuritizationLevel attribute)
SENIOR_UNSECURED (rivapy.tools.enums.SecuritizationLevel attribute)
set_amount() (rivapy.instruments.PPASpecification method)
set_params() (rivapy.sample_data.market_data.spread_curves.SpreadCurveSampler method)
set_price() (rivapy.pricing.pricing_data.PricingResults method)
set_stickyness() (rivapy.marketdata.VolatilitySurface static method)
shift() (rivapy.marketdata_tools.PFCShifter method)
SimpleSchedule (class in rivapy.tools)
simulate() (rivapy.models.LinearDemandForwardModel method)
(rivapy.models.LoadModel method)
(rivapy.models.LuciaSchwartz method)
(rivapy.models.MultiRegionWindForecastModel method)
(rivapy.models.OrnsteinUhlenbeck method)
(rivapy.models.ResidualDemandForwardModel method)
(rivapy.models.ResidualDemandModel method)
(rivapy.models.SolarPowerModel method)
(rivapy.models.WindPowerForecastModel method)
(rivapy.models.WindPowerModel method)
SolarPowerModel (class in rivapy.models)
Specification
spot_price_model() (in module rivapy.sample_data.dummy_power_spot_price)
SpreadCurveCollection (class in rivapy.sample_data.market_data.spread_curves)
SpreadCurveSampler (class in rivapy.sample_data.market_data.spread_curves)
start_day (rivapy.tools.Schedule property)
StickyFwdMoneyness (rivapy.tools.enums.VolatilityStickyness attribute)
StickyStrike (rivapy.tools.enums.VolatilityStickyness attribute)
StickyXStrike (rivapy.tools.enums.VolatilityStickyness attribute)
StochasticLocalVol (class in rivapy.models)
stub (rivapy.tools.Schedule property)
SUBORDINATED (rivapy.tools.enums.SecuritizationLevel attribute)
SupplyFunction (class in rivapy.models)
survival_curve (rivapy.pricing.pricing_data.BondPricingData property)
T
Theoretical Value
THETA (rivapy.pricing.pricing_data.ResultType attribute)
ThirtyE360 (rivapy.tools.enums.DayCounterType attribute)
ThirtyU360 (rivapy.tools.enums.DayCounterType attribute)
time_period (rivapy.tools.Schedule property)
total_capacity() (rivapy.models.MultiRegionWindForecastModel method)
U
udls() (rivapy.models.LinearDemandForwardModel method)
(rivapy.models.LinearDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.MultiRegionWindForecastModel method)
(rivapy.models.MultiRegionWindForecastModel.ForwardSimulationResult method)
(rivapy.models.MultiRegionWindForecastModel.Region method)
(rivapy.models.ResidualDemandForwardModel method)
(rivapy.models.ResidualDemandForwardModel.ForwardSimulationResult method)
(rivapy.models.ResidualDemandModel method)
(rivapy.models.SolarPowerModel method)
(rivapy.models.WindPowerForecastModel method)
(rivapy.models.WindPowerForecastModel.ForwardSimulationResult method)
(rivapy.models.WindPowerModel method)
UNADJUSTED (rivapy.tools.enums.RollConvention attribute)
UNDEFINED (rivapy.tools.enums.InflationInterpolation attribute)
V
validate() (rivapy.instruments.cds_specification.CDSSpecification method)
valuation_date (rivapy.pricing.pricing_data.BondPricingData property)
value() (rivapy.marketdata.DiscountCurve method)
(rivapy.marketdata.DiscountCurveParametrized method)
(rivapy.marketdata.EquityForwardCurve method)
value_rate() (rivapy.marketdata.DiscountCurveParametrized method)
VANNA (rivapy.pricing.pricing_data.ResultType attribute)
VEGA (rivapy.pricing.pricing_data.ResultType attribute)
VolatilityGridParametrization (class in rivapy.marketdata)
VolatilityParametrizationFlat (class in rivapy.marketdata)
VolatilityParametrizationSABR (class in rivapy.marketdata)
VolatilityParametrizationSSVI (class in rivapy.marketdata)
VolatilityParametrizationSVI (class in rivapy.marketdata)
VolatilityParametrizationTerm (class in rivapy.marketdata)
VolatilityStickyness (class in rivapy.tools.enums)
VolatilitySurface (class in rivapy.marketdata)
W
WindPowerForecastModel (class in rivapy.models)
WindPowerForecastModel.ForwardSimulationResult (class in rivapy.models)
WindPowerModel (class in rivapy.models)
Y
years (rivapy.tools.Period property)
Z
ZeroCouponBondSpecification (class in rivapy.instruments.bond_specifications)