Index

_

__call__() (jactus.functions.payoff.BasePayoffFunction method) (jactus.functions.payoff.PayoffFunction method) (jactus.functions.state.BaseStateTransitionFunction method) (jactus.functions.state.StateTransitionFunction method) __eq__() (jactus.core.events.ContractEvent method) (jactus.core.states.ContractState method) (jactus.core.time.ActusDateTime method) __ge__() (jactus.core.events.ContractEvent method) (jactus.core.time.ActusDateTime method) __getitem__() (jactus.core.events.EventSchedule method) __gt__() (jactus.core.events.ContractEvent method) (jactus.core.time.ActusDateTime method) __hash__() (jactus.core.events.ContractEvent method) (jactus.core.states.ContractState method) (jactus.core.time.ActusDateTime method) __init__() (jactus.core.events.ContractEvent method) (jactus.core.events.EventSchedule method) (jactus.core.states.ContractState method) (jactus.core.time.ActusDateTime method) (jactus.exceptions.ActusException method) (jactus.functions.payoff.BasePayoffFunction method) (jactus.functions.payoff.PayoffFunction method) (jactus.functions.state.BaseStateTransitionFunction method) (jactus.functions.state.StateTransitionFunction method) (jactus.observers.behavioral.BaseBehaviorRiskFactorObserver method) (jactus.observers.behavioral.BehaviorRiskFactorObserver method) (jactus.observers.behavioral.CalloutEvent method) (jactus.observers.child_contract.ChildContractObserver method) (jactus.observers.child_contract.MockChildContractObserver method) (jactus.observers.child_contract.SimulatedChildContractObserver method) (jactus.observers.deposit_transaction.DepositTransactionObserver method) (jactus.observers.prepayment.PrepaymentSurfaceObserver method) (jactus.observers.risk_factor.BaseRiskFactorObserver method) (jactus.observers.risk_factor.CallbackRiskFactorObserver method) (jactus.observers.risk_factor.CompositeRiskFactorObserver method) (jactus.observers.risk_factor.ConstantRiskFactorObserver method) (jactus.observers.risk_factor.CurveRiskFactorObserver method) (jactus.observers.risk_factor.DictRiskFactorObserver method) (jactus.observers.risk_factor.JaxRiskFactorObserver method) (jactus.observers.risk_factor.RiskFactorObserver method) (jactus.observers.risk_factor.TimeSeriesRiskFactorObserver method) (jactus.observers.scenario.Scenario method) (jactus.utilities.calendars.CustomCalendar method) (jactus.utilities.calendars.NYSECalendar method) (jactus.utilities.calendars.TARGETCalendar method) (jactus.utilities.calendars.UKSettlementCalendar method) (jactus.utilities.surface.LabeledSurface2D method) (jactus.utilities.surface.Surface2D method)

__iter__() (jactus.core.events.EventSchedule method) __le__() (jactus.core.events.ContractEvent method) (jactus.core.time.ActusDateTime method) __len__() (jactus.core.events.EventSchedule method) __lt__() (jactus.core.events.ContractEvent method) (jactus.core.time.ActusDateTime method) __post_init__() (jactus.core.time.ActusDateTime method) (jactus.utilities.surface.LabeledSurface2D method) (jactus.utilities.surface.Surface2D method) __str__() (jactus.exceptions.ActusException method)

A

A (jactus.core.types.FeeBasis attribute) (jactus.core.types.PrepaymentEffect attribute) A360 (jactus.core.types.DayCountConvention attribute) A365 (jactus.core.types.DayCountConvention attribute) AA (jactus.core.types.DayCountConvention attribute) accrue_fees() (jactus.functions.state.BaseStateTransitionFunction method) accrue_interest() (jactus.functions.state.BaseStateTransitionFunction method) accrued_interest (jactus.core.attributes.ContractAttributes attribute) ActusDateTime (class in jactus.core.time) ActusException AD (jactus.core.types.EventType attribute) add_behavior_observer() (jactus.observers.scenario.Scenario method) add_business_days() (jactus.utilities.calendars.HolidayCalendar method) add_event() (jactus.core.events.EventSchedule method) add_event_data() (jactus.observers.risk_factor.DictRiskFactorObserver method) add_holiday() (jactus.utilities.calendars.CustomCalendar method) add_market_observer() (jactus.observers.scenario.Scenario method) add_period() (in module jactus.core.time) (jactus.core.time.ActusDateTime method) add_risk_factor() (jactus.observers.risk_factor.DictRiskFactorObserver method)

adjust_to_business_day() (in module jactus.core.time) amortization_date (jactus.core.attributes.ContractAttributes attribute) analysis_dates (jactus.core.attributes.ContractAttributes attribute) ANN (jactus.core.types.ContractType attribute) annuity_amount() (in module jactus.utilities.math) annuity_amount_vectorized() (in module jactus.utilities.math) apply_business_day_convention() (in module jactus.utilities.schedules) apply_conditions() (jactus.observers.child_contract.MockChildContractObserver method) apply_end_of_month_convention() (in module jactus.utilities.schedules) apply_fx_rate() (jactus.functions.payoff.BasePayoffFunction method) apply_role_sign() (jactus.functions.payoff.BasePayoffFunction method) array_fixed_variable (jactus.core.attributes.ContractAttributes attribute) array_increase_decrease (jactus.core.attributes.ContractAttributes attribute) array_ip_anchor (jactus.core.attributes.ContractAttributes attribute) array_ip_cycle (jactus.core.attributes.ContractAttributes attribute) array_pr_anchor (jactus.core.attributes.ContractAttributes attribute) array_pr_cycle (jactus.core.attributes.ContractAttributes attribute) array_pr_next (jactus.core.attributes.ContractAttributes attribute) array_rate (jactus.core.attributes.ContractAttributes attribute) array_rr_anchor (jactus.core.attributes.ContractAttributes attribute) array_rr_cycle (jactus.core.attributes.ContractAttributes attribute)

B

B (jactus.core.types.CyclePointOfInterestPayment attribute) B30360 (jactus.core.types.DayCountConvention attribute) BaseBehaviorRiskFactorObserver (class in jactus.observers.behavioral) BaseChildContractObserver (class in jactus.observers.child_contract) BasePayoffFunction (class in jactus.functions.payoff) BaseRiskFactorObserver (class in jactus.observers.risk_factor) BaseStateTransitionFunction (class in jactus.functions.state)

behavior_observers (jactus.observers.scenario.Scenario attribute), [1] BehaviorRiskFactorObserver (class in jactus.observers.behavioral) BUS252 (jactus.core.types.DayCountConvention attribute) business_day_convention (jactus.core.attributes.ContractAttributes attribute) business_days_between() (jactus.utilities.calendars.HolidayCalendar method) BusinessDayConvention (class in jactus.core.types) BUY (jactus.core.types.ContractRole attribute)

C

calculate_actus_annuity() (in module jactus.utilities.math) calculate_actus_annuity_jax() (in module jactus.utilities.math) calculate_payoff() (jactus.functions.payoff.BasePayoffFunction method) calculation_time (jactus.core.events.ContractEvent attribute) Calendar (class in jactus.core.types) calendar (jactus.core.attributes.ContractAttributes attribute) CallbackRiskFactorObserver (class in jactus.observers.risk_factor) callout_type (jactus.observers.behavioral.CalloutEvent attribute), [1] CalloutEvent (class in jactus.observers.behavioral) canonical_contract_payoff() (in module jactus.functions.payoff) CAPFL (jactus.core.types.ContractType attribute) CE (jactus.core.types.EventType attribute) CEC (jactus.core.types.ContractType attribute) CEG (jactus.core.types.ContractType attribute) child_attributes (jactus.observers.child_contract.MockChildContractObserver attribute) child_events (jactus.observers.child_contract.MockChildContractObserver attribute) child_states (jactus.observers.child_contract.MockChildContractObserver attribute) ChildContractObserver (class in jactus.observers.child_contract) CLM (jactus.core.types.ContractType attribute) CNO (jactus.core.types.ContractRole attribute) COL (jactus.core.types.ContractRole attribute) COM (jactus.core.types.ContractType attribute) CompositeRiskFactorObserver (class in jactus.observers.risk_factor) compound_factor() (in module jactus.utilities.math) compound_factor_vectorized() (in module jactus.utilities.math) ConfigurationError configure_logging() (in module jactus.logging_config) ConstantRiskFactorObserver (class in jactus.observers.risk_factor) context (jactus.exceptions.ActusException attribute) contract_deal_date (jactus.core.attributes.ContractAttributes attribute) contract_id (jactus.core.attributes.ContractAttributes attribute) (jactus.core.events.EventSchedule attribute), [1] contract_performance (jactus.core.attributes.ContractAttributes attribute) contract_role (jactus.core.attributes.ContractAttributes attribute) (jactus.functions.payoff.BasePayoffFunction attribute)

contract_role_sign() (in module jactus.utilities.math) contract_role_sign_vectorized() (in module jactus.utilities.math) contract_start() (jactus.observers.behavioral.BaseBehaviorRiskFactorObserver method) (jactus.observers.behavioral.BehaviorRiskFactorObserver method) (jactus.observers.deposit_transaction.DepositTransactionObserver method) (jactus.observers.prepayment.PrepaymentSurfaceObserver method) contract_structure (jactus.core.attributes.ContractAttributes attribute) contract_type (jactus.core.attributes.ContractAttributes attribute) ContractAttributes (class in jactus.core.attributes) ContractEvent (class in jactus.core.events) ContractPerformance (class in jactus.core.types) ContractRole (class in jactus.core.types) ContractState (class in jactus.core.states) ContractType (class in jactus.core.types) ContractValidationError ConventionError coverage (jactus.core.attributes.ContractAttributes attribute) create_state_pre() (in module jactus.functions.state) credit_enhancement_guarantee_extent (jactus.core.attributes.ContractAttributes attribute) credit_event_type (jactus.core.attributes.ContractAttributes attribute) CSF (jactus.core.types.BusinessDayConvention attribute) CSH (jactus.core.types.ContractType attribute) CSMF (jactus.core.types.BusinessDayConvention attribute) CSMP (jactus.core.types.BusinessDayConvention attribute) CSP (jactus.core.types.BusinessDayConvention attribute) currency (jactus.core.attributes.ContractAttributes attribute) (jactus.core.events.ContractEvent attribute), [1] (jactus.functions.payoff.BasePayoffFunction attribute) currency_2 (jactus.core.attributes.ContractAttributes attribute) CurveRiskFactorObserver (class in jactus.observers.risk_factor) CUSTOM (jactus.core.types.Calendar attribute) CustomCalendar (class in jactus.utilities.calendars) CyclePointOfInterestPayment (class in jactus.core.types)

D

DateTimeError day (jactus.core.time.ActusDateTime attribute), [1] day_count_convention (jactus.core.attributes.ContractAttributes attribute) DayCountConvention (class in jactus.core.types) days_between() (jactus.core.time.ActusDateTime method) days_between_30_360_methods() (in module jactus.utilities.conventions) delivery_settlement (jactus.core.attributes.ContractAttributes attribute) delivery_type (jactus.core.attributes.ContractAttributes attribute) DepositTransactionObserver (class in jactus.observers.deposit_transaction) description (jactus.observers.scenario.Scenario attribute), [1]

DF (jactus.core.types.ContractPerformance attribute) DictRiskFactorObserver (class in jactus.observers.risk_factor) disable_logging() (in module jactus.logging_config) discount_factor() (in module jactus.utilities.math) discount_factor_vectorized() (in module jactus.utilities.math) dividend_anchor (jactus.core.attributes.ContractAttributes attribute) dividend_cycle (jactus.core.attributes.ContractAttributes attribute) DL (jactus.core.types.ContractPerformance attribute) DQ (jactus.core.types.ContractPerformance attribute) DV (jactus.core.types.EventType attribute) DVF (jactus.core.types.EventType attribute)

E

E (jactus.core.types.CyclePointOfInterestPayment attribute) E30360 (jactus.core.types.DayCountConvention attribute) E30360ISDA (jactus.core.types.DayCountConvention attribute) end_of_month_convention (jactus.core.attributes.ContractAttributes attribute) EndOfMonthConvention (class in jactus.core.types) EngineError EOM (jactus.core.types.EndOfMonthConvention attribute) evaluate() (jactus.utilities.surface.Surface2D method)

event_time (jactus.core.events.ContractEvent attribute), [1] event_type (jactus.core.events.ContractEvent attribute), [1] events (jactus.core.events.EventSchedule attribute), [1] EventSchedule (class in jactus.core.events) EventType (class in jactus.core.types) exercise_amount (jactus.core.attributes.ContractAttributes attribute) exercise_date (jactus.core.attributes.ContractAttributes attribute) expand_period_to_months() (in module jactus.utilities.schedules) extrapolation (jactus.utilities.surface.Surface2D attribute), [1]

F

feac (jactus.core.states.ContractState attribute), [1] fee_accrued (jactus.core.attributes.ContractAttributes attribute) fee_basis (jactus.core.attributes.ContractAttributes attribute) fee_payment_anchor (jactus.core.attributes.ContractAttributes attribute) fee_payment_cycle (jactus.core.attributes.ContractAttributes attribute) fee_rate (jactus.core.attributes.ContractAttributes attribute) FeeBasis (class in jactus.core.types) filter_by_time_range() (jactus.core.events.EventSchedule method) filter_by_type() (jactus.core.events.EventSchedule method) fixed_market_rate (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) fixing_period (jactus.core.attributes.ContractAttributes attribute)

format() (jactus.logging_config.StructuredFormatter method) FP (jactus.core.types.EventType attribute) from_dict() (jactus.core.events.ContractEvent class method) (jactus.core.states.ContractState class method) (jactus.observers.risk_factor.JaxRiskFactorObserver static method) (jactus.utilities.surface.LabeledSurface2D static method) (jactus.utilities.surface.Surface2D static method) from_iso() (jactus.core.time.ActusDateTime class method) from_labeled_surface() (jactus.observers.deposit_transaction.DepositTransactionObserver class method) FUTUR (jactus.core.types.ContractType attribute) future_price (jactus.core.attributes.ContractAttributes attribute) FXOUT (jactus.core.types.ContractType attribute)

G

generate_array_schedule() (in module jactus.utilities.schedules) generate_schedule() (in module jactus.utilities.schedules) get() (jactus.observers.risk_factor.JaxRiskFactorObserver method) (jactus.utilities.surface.LabeledSurface2D method) get_attribute() (jactus.core.attributes.ContractAttributes method) get_batch() (jactus.observers.risk_factor.JaxRiskFactorObserver method) get_calculation_date() (in module jactus.core.time) get_calendar() (in module jactus.utilities.calendars) get_callout_events() (jactus.observers.scenario.Scenario method)

get_column() (jactus.utilities.surface.LabeledSurface2D method) get_logger() (in module jactus.logging_config) get_observer() (jactus.observers.scenario.Scenario method) get_payoffs() (jactus.core.events.EventSchedule method) get_performance_logger() (in module jactus.logging_config) get_row() (jactus.utilities.surface.LabeledSurface2D method) get_sign() (jactus.core.types.ContractRole method) get_times() (jactus.core.events.EventSchedule method) get_transaction_schedule() (jactus.observers.deposit_transaction.DepositTransactionObserver method) GUA (jactus.core.types.ContractRole attribute)

H

HolidayCalendar (class in jactus.utilities.calendars)

hour (jactus.core.time.ActusDateTime attribute), [1]

I

I00 (jactus.core.types.ScalingEffect attribute) I0M (jactus.core.types.ScalingEffect attribute) IED (jactus.core.types.EventType attribute) IN0 (jactus.core.types.ScalingEffect attribute) index (jactus.core.types.EventType property) initial_exchange_date (jactus.core.attributes.ContractAttributes attribute) initialize_state() (in module jactus.core.states) INM (jactus.core.types.ScalingEffect attribute) interest_calculation_base (jactus.core.attributes.ContractAttributes attribute) interest_calculation_base_amount (jactus.core.attributes.ContractAttributes attribute) interest_calculation_base_anchor (jactus.core.attributes.ContractAttributes attribute) interest_calculation_base_cycle (jactus.core.attributes.ContractAttributes attribute) interest_capitalization_end_date (jactus.core.attributes.ContractAttributes attribute) interest_payment_anchor (jactus.core.attributes.ContractAttributes attribute) interest_payment_cycle (jactus.core.attributes.ContractAttributes attribute) InterestCalculationBase (class in jactus.core.types) IP (jactus.core.types.EventType attribute) ipac (jactus.core.states.ContractState attribute), [1] ipac1 (jactus.core.states.ContractState attribute), [1] ipac2 (jactus.core.states.ContractState attribute), [1]

ipcb (jactus.core.states.ContractState attribute), [1] IPCB (jactus.core.types.EventType attribute) IPCI (jactus.core.types.EventType attribute) IPFL (jactus.core.types.EventType attribute) IPFX (jactus.core.types.EventType attribute) ipnr (jactus.core.states.ContractState attribute), [1] is_attribute_defined() (jactus.core.attributes.ContractAttributes method) is_business_day() (in module jactus.core.time) (jactus.utilities.calendars.CustomCalendar method) (jactus.utilities.calendars.HolidayCalendar method) (jactus.utilities.calendars.MondayToFridayCalendar method) (jactus.utilities.calendars.NoHolidayCalendar method) (jactus.utilities.calendars.NYSECalendar method) (jactus.utilities.calendars.TARGETCalendar method) (jactus.utilities.calendars.UKSettlementCalendar method) is_calculate_shift() (in module jactus.core.time) is_end_of_month() (jactus.core.time.ActusDateTime method) is_holiday() (jactus.utilities.calendars.HolidayCalendar method) is_shift_calculate() (in module jactus.core.time) is_weekend() (in module jactus.utilities.calendars) isc (jactus.core.states.ContractState attribute), [1]

J

jactus.core.attributes module jactus.core.events module jactus.core.states module jactus.core.time module jactus.core.types module jactus.exceptions module jactus.functions.payoff module jactus.functions.state module jactus.logging_config module jactus.observers.behavioral module

jactus.observers.child_contract module jactus.observers.deposit_transaction module jactus.observers.prepayment module jactus.observers.risk_factor module jactus.observers.scenario module jactus.utilities.calendars module jactus.utilities.conventions module jactus.utilities.math module jactus.utilities.schedules module jactus.utilities.surface module JaxRiskFactorObserver (class in jactus.observers.risk_factor)

L

LabeledSurface2D (class in jactus.utilities.surface) LAM (jactus.core.types.ContractType attribute) LAX (jactus.core.types.ContractType attribute)

LG (jactus.core.types.ContractRole attribute) list_risk_factors() (jactus.observers.scenario.Scenario method) load_from_list() (jactus.utilities.calendars.CustomCalendar method)

M

M (jactus.core.types.PrepaymentEffect attribute) market_object_code (jactus.core.attributes.ContractAttributes attribute) market_object_code_of_dividends (jactus.core.attributes.ContractAttributes attribute) market_observer (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) market_observers (jactus.observers.scenario.Scenario attribute), [1] market_rate_id (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) maturity_date (jactus.core.attributes.ContractAttributes attribute) MD (jactus.core.types.EventType attribute) merge() (jactus.core.events.EventSchedule method) merge_congruent_events() (in module jactus.core.events) message (jactus.exceptions.ActusException attribute) metadata (jactus.observers.behavioral.CalloutEvent attribute), [1] minute (jactus.core.time.ActusDateTime attribute), [1] MockChildContractObserver (class in jactus.observers.child_contract) model_config (jactus.core.attributes.ContractAttributes attribute) model_id (jactus.observers.behavioral.CalloutEvent attribute), [1] (jactus.observers.deposit_transaction.DepositTransactionObserver attribute) (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) module jactus.core.attributes jactus.core.events jactus.core.states jactus.core.time jactus.core.types jactus.exceptions jactus.functions.payoff jactus.functions.state jactus.logging_config jactus.observers.behavioral jactus.observers.child_contract jactus.observers.deposit_transaction jactus.observers.prepayment jactus.observers.risk_factor jactus.observers.scenario jactus.utilities.calendars jactus.utilities.conventions jactus.utilities.math jactus.utilities.schedules jactus.utilities.surface

MONDAY_TO_FRIDAY (jactus.core.types.Calendar attribute) MondayToFridayCalendar (class in jactus.utilities.calendars) month (jactus.core.time.ActusDateTime attribute), [1]

N

N (jactus.core.types.FeeBasis attribute) (jactus.core.types.PrepaymentEffect attribute) NAM (jactus.core.types.ContractType attribute) next_business_day() (jactus.utilities.calendars.HolidayCalendar method) next_principal_redemption_amount (jactus.core.attributes.ContractAttributes attribute) NO_CALENDAR (jactus.core.types.Calendar attribute) NoHolidayCalendar (class in jactus.utilities.calendars) nominal_interest_rate (jactus.core.attributes.ContractAttributes attribute) nominal_interest_rate_2 (jactus.core.attributes.ContractAttributes attribute)

notional_principal (jactus.core.attributes.ContractAttributes attribute) notional_principal_2 (jactus.core.attributes.ContractAttributes attribute) nsc (jactus.core.states.ContractState attribute), [1] nt (jactus.core.states.ContractState attribute), [1] NT (jactus.core.types.InterestCalculationBase attribute) NTIED (jactus.core.types.InterestCalculationBase attribute) NTL (jactus.core.types.InterestCalculationBase attribute) NULL (jactus.core.types.BusinessDayConvention attribute) NYSECalendar (class in jactus.utilities.calendars)

O

OBL (jactus.core.types.ContractRole attribute) observe_attribute() (jactus.observers.child_contract.BaseChildContractObserver method) (jactus.observers.child_contract.ChildContractObserver method) observe_event() (jactus.observers.behavioral.BehaviorRiskFactorObserver method) (jactus.observers.risk_factor.BaseRiskFactorObserver method) (jactus.observers.risk_factor.RiskFactorObserver method) observe_events() (jactus.observers.child_contract.BaseChildContractObserver method) (jactus.observers.child_contract.ChildContractObserver method) observe_risk_factor() (jactus.observers.behavioral.BehaviorRiskFactorObserver method) (jactus.observers.risk_factor.BaseRiskFactorObserver method) (jactus.observers.risk_factor.RiskFactorObserver method)

observe_state() (jactus.observers.child_contract.BaseChildContractObserver method) (jactus.observers.child_contract.ChildContractObserver method) ObserverError option_exercise_end_date (jactus.core.attributes.ContractAttributes attribute) option_exercise_type (jactus.core.attributes.ContractAttributes attribute) option_strike_1 (jactus.core.attributes.ContractAttributes attribute) option_strike_2 (jactus.core.attributes.ContractAttributes attribute) option_type (jactus.core.attributes.ContractAttributes attribute) OPTNS (jactus.core.types.ContractType attribute)

P

PAM (jactus.core.types.ContractType attribute) parse_cycle() (in module jactus.core.time) parse_iso_datetime() (in module jactus.core.time) payoff (jactus.core.events.ContractEvent attribute), [1] PayoffCalculationError PayoffFunction (class in jactus.functions.payoff) penalty_rate (jactus.core.attributes.ContractAttributes attribute) penalty_type (jactus.core.attributes.ContractAttributes attribute) PF (jactus.core.types.ContractPerformance attribute) PFL (jactus.core.types.ContractRole attribute) phi() (in module jactus.core.events) PI (jactus.core.types.EventType attribute) PP (jactus.core.types.EventType attribute) PR (jactus.core.types.EventType attribute) PRD (jactus.core.types.EventType attribute) premium_discount_at_ied (jactus.core.attributes.ContractAttributes attribute)

prepayment_cycle (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) prepayment_effect (jactus.core.attributes.ContractAttributes attribute) PrepaymentEffect (class in jactus.core.types) PrepaymentSurfaceObserver (class in jactus.observers.prepayment) present_value() (in module jactus.utilities.math) present_value_vectorized() (in module jactus.utilities.math) previous_business_day() (jactus.utilities.calendars.HolidayCalendar method) prf (jactus.core.states.ContractState attribute), [1] PRF (jactus.core.types.EventType attribute) price_at_purchase_date (jactus.core.attributes.ContractAttributes attribute) price_at_termination_date (jactus.core.attributes.ContractAttributes attribute) principal_redemption_anchor (jactus.core.attributes.ContractAttributes attribute) principal_redemption_cycle (jactus.core.attributes.ContractAttributes attribute) prnxt (jactus.core.states.ContractState attribute), [1] purchase_date (jactus.core.attributes.ContractAttributes attribute) PY (jactus.core.types.EventType attribute)

Q

quantity (jactus.core.attributes.ContractAttributes attribute)

R

rate_reset_anchor (jactus.core.attributes.ContractAttributes attribute) rate_reset_cap (jactus.core.attributes.ContractAttributes attribute) rate_reset_cycle (jactus.core.attributes.ContractAttributes attribute) rate_reset_floor (jactus.core.attributes.ContractAttributes attribute) rate_reset_market_object (jactus.core.attributes.ContractAttributes attribute) rate_reset_multiplier (jactus.core.attributes.ContractAttributes attribute) rate_reset_next (jactus.core.attributes.ContractAttributes attribute) rate_reset_spread (jactus.core.attributes.ContractAttributes attribute) register_child() (jactus.observers.child_contract.MockChildContractObserver method)

register_simulation() (jactus.observers.child_contract.SimulatedChildContractObserver method) remove_holiday() (jactus.utilities.calendars.CustomCalendar method) replace() (jactus.core.states.ContractState method) RFL (jactus.core.types.ContractRole attribute) RiskFactorObserver (class in jactus.observers.risk_factor) RPA (jactus.core.types.ContractRole attribute) RPL (jactus.core.types.ContractRole attribute) RR (jactus.core.types.EventType attribute) RRF (jactus.core.types.EventType attribute)

S

S000 (jactus.core.types.ScalingEffect attribute) S00M (jactus.core.types.ScalingEffect attribute) S0N0 (jactus.core.types.ScalingEffect attribute) S0NM (jactus.core.types.ScalingEffect attribute) SC (jactus.core.types.EventType attribute) scaling_effect (jactus.core.attributes.ContractAttributes attribute) scaling_index_anchor (jactus.core.attributes.ContractAttributes attribute) scaling_index_at_contract_deal_date (jactus.core.attributes.ContractAttributes attribute) scaling_index_at_status_date (jactus.core.attributes.ContractAttributes attribute) scaling_index_cycle (jactus.core.attributes.ContractAttributes attribute) scaling_market_object (jactus.core.attributes.ContractAttributes attribute) ScalingEffect (class in jactus.core.types) Scenario (class in jactus.observers.scenario) scenario_id (jactus.observers.scenario.Scenario attribute), [1] SCF (jactus.core.types.BusinessDayConvention attribute) ScheduleGenerationError SCMF (jactus.core.types.BusinessDayConvention attribute) SCMP (jactus.core.types.BusinessDayConvention attribute) SCP (jactus.core.types.BusinessDayConvention attribute) sd (jactus.core.states.ContractState attribute), [1] SD (jactus.core.types.EndOfMonthConvention attribute) second (jactus.core.time.ActusDateTime attribute), [1]

SEL (jactus.core.types.ContractRole attribute) sequence (jactus.core.events.ContractEvent attribute), [1] set_attribute() (jactus.core.attributes.ContractAttributes method) settlement_currency (jactus.core.attributes.ContractAttributes attribute) (jactus.functions.payoff.BasePayoffFunction attribute) settlement_currency_fx_rate() (in module jactus.functions.payoff) settlement_date (jactus.core.attributes.ContractAttributes attribute) settlement_period (jactus.core.attributes.ContractAttributes attribute) SimulatedChildContractObserver (class in jactus.observers.child_contract) sort_events() (in module jactus.core.events) ST (jactus.core.types.ContractRole attribute) state_post (jactus.core.events.ContractEvent attribute), [1] state_pre (jactus.core.events.ContractEvent attribute), [1] StateTransitionError StateTransitionFunction (class in jactus.functions.state) status_date (jactus.core.attributes.ContractAttributes attribute) STD (jactus.core.types.EventType attribute) STK (jactus.core.types.ContractType attribute) StructuredFormatter (class in jactus.logging_config) surface (jactus.observers.prepayment.PrepaymentSurfaceObserver attribute) Surface2D (class in jactus.utilities.surface) SWAPS (jactus.core.types.ContractType attribute) SWPPV (jactus.core.types.ContractType attribute)

T

TARGET (jactus.core.types.Calendar attribute) TARGETCalendar (class in jactus.utilities.calendars) tau() (in module jactus.core.events) TD (jactus.core.types.EventType attribute) termination_date (jactus.core.attributes.ContractAttributes attribute) time (jactus.observers.behavioral.CalloutEvent attribute), [1] TimeSeriesRiskFactorObserver (class in jactus.observers.risk_factor) tmd (jactus.core.states.ContractState attribute), [1] to_array() (jactus.observers.risk_factor.JaxRiskFactorObserver method)

to_datetime() (jactus.core.time.ActusDateTime method) to_dict() (jactus.core.events.ContractEvent method) (jactus.core.events.EventSchedule method) (jactus.core.states.ContractState method) (jactus.utilities.surface.LabeledSurface2D method) (jactus.utilities.surface.Surface2D method) to_iso() (jactus.core.time.ActusDateTime method) transactions (jactus.observers.deposit_transaction.DepositTransactionObserver attribute) transition_state() (jactus.functions.state.BaseStateTransitionFunction method)

U

UDL (jactus.core.types.ContractRole attribute) UDLM (jactus.core.types.ContractRole attribute) UDLP (jactus.core.types.ContractRole attribute) UK_SETTLEMENT (jactus.core.types.Calendar attribute) UKSettlementCalendar (class in jactus.utilities.calendars)

UMP (jactus.core.types.ContractType attribute) unit (jactus.core.attributes.ContractAttributes attribute) update() (jactus.observers.risk_factor.JaxRiskFactorObserver method) update_batch() (jactus.observers.risk_factor.JaxRiskFactorObserver method) update_status_date() (jactus.functions.state.BaseStateTransitionFunction method) US_NYSE (jactus.core.types.Calendar attribute)

V

validate_array_schedules() (jactus.core.attributes.ContractAttributes method) validate_currency() (jactus.core.attributes.ContractAttributes class method) validate_dates() (jactus.core.attributes.ContractAttributes method) validate_interest_rate() (jactus.core.attributes.ContractAttributes class method)

validate_notional() (jactus.core.attributes.ContractAttributes class method) validate_state_transition() (in module jactus.functions.state) values (jactus.utilities.surface.LabeledSurface2D attribute), [1] (jactus.utilities.surface.Surface2D attribute), [1]

X

x_day_notice (jactus.core.attributes.ContractAttributes attribute) x_labels (jactus.utilities.surface.LabeledSurface2D attribute), [1] x_margins (jactus.utilities.surface.Surface2D attribute), [1]

xa (jactus.core.states.ContractState attribute), [1] xd (jactus.core.states.ContractState attribute), [1] XD (jactus.core.types.EventType attribute)

Y

y_labels (jactus.utilities.surface.LabeledSurface2D attribute), [1] y_margins (jactus.utilities.surface.Surface2D attribute), [1]

year (jactus.core.time.ActusDateTime attribute), [1] year_fraction() (in module jactus.utilities.conventions) years_between() (jactus.core.time.ActusDateTime method)