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.cli.CLIState method) (jactus.contracts.ann.ANNStateTransitionFunction method) (jactus.contracts.ann.AnnuityContract method) (jactus.contracts.AnnuityContract method) (jactus.contracts.base.BaseContract method) (jactus.contracts.base.SimulationHistory method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.capfl.CapFloorPayoffFunction method) (jactus.contracts.capfl.CapFloorStateTransitionFunction method) (jactus.contracts.CapFloorContract method) (jactus.contracts.CashContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.clm.CLMPayoffFunction method) (jactus.contracts.com.CommodityContract method) (jactus.contracts.CommodityContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.csh.CashContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.futur.FutureContract method) (jactus.contracts.FutureContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lam.LinearAmortizerContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.lax.LAXPayoffFunction method) (jactus.contracts.LinearAmortizerContract method) (jactus.contracts.nam.NegativeAmortizerContract method) (jactus.contracts.NegativeAmortizerContract method) (jactus.contracts.OptionContract method) (jactus.contracts.optns.OptionContract method) (jactus.contracts.pam.PrincipalAtMaturityContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.PrincipalAtMaturityContract method) (jactus.contracts.SimulationHistory method) (jactus.contracts.stk.StockContract method) (jactus.contracts.StockContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method) (jactus.contracts.ump.UMPPayoffFunction method) (jactus.contracts.ump.UndefinedMaturityProfileContract method) (jactus.contracts.UndefinedMaturityProfileContract method) (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) _event_cache (jactus.contracts.base.BaseContract attribute) (jactus.contracts.BaseContract attribute)

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.contracts.PAMArrayParams attribute) (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) ANNStateTransitionFunction (class in jactus.contracts.ann) annuity_amount() (in module jactus.utilities.math) annuity_amount_vectorized() (in module jactus.utilities.math) AnnuityContract (class in jactus.contracts) (class in jactus.contracts.ann) 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) attributes (jactus.contracts.ann.AnnuityContract attribute) (jactus.contracts.AnnuityContract attribute) (jactus.contracts.base.BaseContract attribute) (jactus.contracts.BaseContract attribute) (jactus.contracts.CashContract attribute) (jactus.contracts.cec.CreditEnhancementCollateralContract attribute) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.com.CommodityContract attribute) (jactus.contracts.CommodityContract attribute) (jactus.contracts.CreditEnhancementCollateralContract attribute) (jactus.contracts.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.csh.CashContract attribute) (jactus.contracts.GenericSwapContract attribute) (jactus.contracts.lam.LinearAmortizerContract attribute) (jactus.contracts.LinearAmortizerContract attribute) (jactus.contracts.nam.NegativeAmortizerContract attribute) (jactus.contracts.NegativeAmortizerContract attribute) (jactus.contracts.pam.PrincipalAtMaturityContract attribute) (jactus.contracts.PlainVanillaSwapContract attribute) (jactus.contracts.PrincipalAtMaturityContract attribute) (jactus.contracts.stk.StockContract attribute) (jactus.contracts.StockContract attribute) (jactus.contracts.swaps.GenericSwapContract attribute) (jactus.contracts.swppv.PlainVanillaSwapContract 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) BaseContract (class in jactus.contracts) (class in jactus.contracts.base) BasePayoffFunction (class in jactus.functions.payoff) BaseRiskFactorObserver (class in jactus.observers.risk_factor) BaseStateTransitionFunction (class in jactus.functions.state) batch_precompute_pam() (in module jactus.contracts)

batch_simulate_pam() (in module jactus.contracts) batch_simulate_pam_auto() (in module jactus.contracts) batch_simulate_pam_vmap() (in module jactus.contracts) 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.contracts.capfl.CapFloorPayoffFunction method) (jactus.contracts.cec.CECPayoffFunction method) (jactus.contracts.ceg.CEGPayoffFunction method) (jactus.contracts.clm.CLMPayoffFunction method) (jactus.contracts.com.CommodityPayoffFunction method) (jactus.contracts.csh.CashPayoffFunction method) (jactus.contracts.futur.FuturePayoffFunction method) (jactus.contracts.fxout.FXOutrightPayoffFunction method) (jactus.contracts.lam.LAMPayoffFunction method) (jactus.contracts.lax.LAXPayoffFunction method) (jactus.contracts.nam.NAMPayoffFunction method) (jactus.contracts.optns.OptionPayoffFunction method) (jactus.contracts.pam.PAMPayoffFunction method) (jactus.contracts.stk.StockPayoffFunction method) (jactus.contracts.swaps.GenericSwapPayoffFunction method) (jactus.contracts.swppv.PlainVanillaSwapPayoffFunction method) (jactus.contracts.ump.UMPPayoffFunction method) (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) CallMoneyContract (class in jactus.contracts) (class in jactus.contracts.clm) 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) CapFloorContract (class in jactus.contracts) (class in jactus.contracts.capfl) CapFloorPayoffFunction (class in jactus.contracts.capfl) CapFloorStateTransitionFunction (class in jactus.contracts.capfl) CashContract (class in jactus.contracts) (class in jactus.contracts.csh) CashPayoffFunction (class in jactus.contracts.csh) CashStateTransitionFunction (class in jactus.contracts.csh) CE (jactus.core.types.EventType attribute) CEC (jactus.core.types.ContractType attribute) CECPayoffFunction (class in jactus.contracts.cec) CECStateTransitionFunction (class in jactus.contracts.cec) CEG (jactus.core.types.ContractType attribute) CEGPayoffFunction (class in jactus.contracts.ceg) CEGStateTransitionFunction (class in jactus.contracts.ceg) child_attributes (jactus.observers.child_contract.MockChildContractObserver attribute) child_contract_observer (jactus.contracts.base.BaseContract attribute) (jactus.contracts.BaseContract attribute) (jactus.contracts.CashContract attribute) (jactus.contracts.cec.CreditEnhancementCollateralContract attribute) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.com.CommodityContract attribute) (jactus.contracts.CommodityContract attribute) (jactus.contracts.CreditEnhancementCollateralContract attribute) (jactus.contracts.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.csh.CashContract attribute) (jactus.contracts.GenericSwapContract attribute) (jactus.contracts.pam.PrincipalAtMaturityContract attribute) (jactus.contracts.PrincipalAtMaturityContract attribute) (jactus.contracts.stk.StockContract attribute) (jactus.contracts.StockContract attribute) (jactus.contracts.swaps.GenericSwapContract attribute) child_events (jactus.observers.child_contract.MockChildContractObserver attribute) child_states (jactus.observers.child_contract.MockChildContractObserver attribute) ChildContractObserver (class in jactus.observers.child_contract)

CLIState (class in jactus.cli) CLM (jactus.core.types.ContractType attribute) CLMPayoffFunction (class in jactus.contracts.clm) CLMStateTransitionFunction (class in jactus.contracts.clm) CNO (jactus.core.types.ContractRole attribute) COL (jactus.core.types.ContractRole attribute) COM (jactus.core.types.ContractType attribute) CommodityContract (class in jactus.contracts) (class in jactus.contracts.com) CommodityPayoffFunction (class in jactus.contracts.com) CommodityStateTransitionFunction (class in jactus.contracts.com) 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.contracts.futur.FutureContract attribute) (jactus.contracts.FutureContract attribute) (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (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_contract() (in module jactus.contracts) 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) CreditEnhancementCollateralContract (class in jactus.contracts) (class in jactus.contracts.cec) CreditEnhancementGuaranteeContract (class in jactus.contracts) (class in jactus.contracts.ceg) 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] determine_leg_roles() (in module jactus.contracts.swaps)

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.contracts.base.SimulationHistory attribute), [1] (jactus.contracts.SimulationHistory attribute), [1] (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) ExoticLinearAmortizerContract (class in jactus.contracts) (class in jactus.contracts.lax) expand_period_to_months() (in module jactus.utilities.schedules) extrapolation (jactus.utilities.surface.Surface2D attribute), [1]

F

feac (jactus.contracts.PAMArrayState attribute) (jactus.core.states.ContractState attribute), [1] fee_accrued (jactus.core.attributes.ContractAttributes attribute) fee_basis (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) fee_payment_anchor (jactus.core.attributes.ContractAttributes attribute) fee_payment_cycle (jactus.core.attributes.ContractAttributes attribute) fee_rate (jactus.contracts.PAMArrayParams attribute) (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) filter_events() (jactus.contracts.base.SimulationHistory method) (jactus.contracts.SimulationHistory method) final_state (jactus.contracts.base.SimulationHistory attribute), [1] (jactus.contracts.SimulationHistory attribute), [1] 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.contracts.futur.FutureContract attribute) (jactus.contracts.FutureContract attribute) (jactus.core.attributes.ContractAttributes attribute) FutureContract (class in jactus.contracts) (class in jactus.contracts.futur) FuturePayoffFunction (class in jactus.contracts.futur) FutureStateTransitionFunction (class in jactus.contracts.futur) FXOUT (jactus.core.types.ContractType attribute) FXOutrightContract (class in jactus.contracts) (class in jactus.contracts.fxout) FXOutrightPayoffFunction (class in jactus.contracts.fxout) FXOutrightStateTransitionFunction (class in jactus.contracts.fxout)

G

generate_array_schedule() (in module jactus.contracts.lax) (in module jactus.utilities.schedules) generate_event_schedule() (jactus.contracts.ann.AnnuityContract method) (jactus.contracts.AnnuityContract method) (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.CapFloorContract method) (jactus.contracts.CashContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.com.CommodityContract method) (jactus.contracts.CommodityContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.csh.CashContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.futur.FutureContract method) (jactus.contracts.FutureContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lam.LinearAmortizerContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.LinearAmortizerContract method) (jactus.contracts.nam.NegativeAmortizerContract method) (jactus.contracts.NegativeAmortizerContract method) (jactus.contracts.OptionContract method) (jactus.contracts.optns.OptionContract method) (jactus.contracts.pam.PrincipalAtMaturityContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.PrincipalAtMaturityContract method) (jactus.contracts.stk.StockContract method) (jactus.contracts.StockContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method) (jactus.contracts.ump.UndefinedMaturityProfileContract method) (jactus.contracts.UndefinedMaturityProfileContract method) generate_schedule() (in module jactus.utilities.schedules) GenericSwapContract (class in jactus.contracts) (class in jactus.contracts.swaps) GenericSwapPayoffFunction (class in jactus.contracts.swaps) GenericSwapStateTransitionFunction (class in jactus.contracts.swaps) get() (jactus.observers.risk_factor.JaxRiskFactorObserver method) (jactus.utilities.surface.LabeledSurface2D method) get_attribute() (jactus.core.attributes.ContractAttributes method) get_available_contract_types() (in module jactus.contracts) 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_cashflows() (jactus.contracts.base.BaseContract method) (jactus.contracts.base.SimulationHistory method) (jactus.contracts.BaseContract method) (jactus.contracts.SimulationHistory method) get_column() (jactus.utilities.surface.LabeledSurface2D method) get_events() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) get_events_in_range() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) get_lifetime() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) get_logger() (in module jactus.logging_config) get_observer() (jactus.observers.scenario.Scenario method) get_payoff_function() (jactus.contracts.ann.AnnuityContract method) (jactus.contracts.AnnuityContract method) (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.CapFloorContract method) (jactus.contracts.CashContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.com.CommodityContract method) (jactus.contracts.CommodityContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.csh.CashContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.futur.FutureContract method) (jactus.contracts.FutureContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lam.LinearAmortizerContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.LinearAmortizerContract method) (jactus.contracts.nam.NegativeAmortizerContract method) (jactus.contracts.NegativeAmortizerContract method) (jactus.contracts.OptionContract method) (jactus.contracts.optns.OptionContract method) (jactus.contracts.pam.PrincipalAtMaturityContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.PrincipalAtMaturityContract method) (jactus.contracts.stk.StockContract method) (jactus.contracts.StockContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method) (jactus.contracts.ump.UndefinedMaturityProfileContract method) (jactus.contracts.UndefinedMaturityProfileContract 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_state() (in module jactus.cli) get_state_transition_function() (jactus.contracts.ann.AnnuityContract method) (jactus.contracts.AnnuityContract method) (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.CapFloorContract method) (jactus.contracts.CashContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.com.CommodityContract method) (jactus.contracts.CommodityContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.csh.CashContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.futur.FutureContract method) (jactus.contracts.FutureContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lam.LinearAmortizerContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.LinearAmortizerContract method) (jactus.contracts.nam.NegativeAmortizerContract method) (jactus.contracts.NegativeAmortizerContract method) (jactus.contracts.OptionContract method) (jactus.contracts.optns.OptionContract method) (jactus.contracts.pam.PrincipalAtMaturityContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.PrincipalAtMaturityContract method) (jactus.contracts.stk.StockContract method) (jactus.contracts.StockContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method) (jactus.contracts.ump.UndefinedMaturityProfileContract method) (jactus.contracts.UndefinedMaturityProfileContract method) get_times() (jactus.core.events.EventSchedule method) get_transaction_schedule() (jactus.observers.deposit_transaction.DepositTransactionObserver method) GUA (jactus.core.types.ContractRole attribute)

H

has_rate_cap (jactus.contracts.PAMArrayParams attribute) has_rate_floor (jactus.contracts.PAMArrayParams attribute)

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) ied_ipac (jactus.contracts.PAMArrayParams attribute) IN0 (jactus.core.types.ScalingEffect attribute) index (jactus.core.types.EventType property) initial_exchange_date (jactus.core.attributes.ContractAttributes attribute) initial_state (jactus.contracts.base.SimulationHistory attribute), [1] (jactus.contracts.SimulationHistory attribute), [1] initialize_state() (in module jactus.core.states) (jactus.contracts.ann.AnnuityContract method) (jactus.contracts.AnnuityContract method) (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.CapFloorContract method) (jactus.contracts.CashContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.com.CommodityContract method) (jactus.contracts.CommodityContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.csh.CashContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.futur.FutureContract method) (jactus.contracts.FutureContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lam.LinearAmortizerContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.LinearAmortizerContract method) (jactus.contracts.nam.NegativeAmortizerContract method) (jactus.contracts.NegativeAmortizerContract method) (jactus.contracts.OptionContract method) (jactus.contracts.optns.OptionContract method) (jactus.contracts.pam.PrincipalAtMaturityContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.PrincipalAtMaturityContract method) (jactus.contracts.stk.StockContract method) (jactus.contracts.StockContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method) (jactus.contracts.ump.UndefinedMaturityProfileContract method) (jactus.contracts.UndefinedMaturityProfileContract method)

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.contracts.PAMArrayState attribute) (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.contracts.PAMArrayState attribute) (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_maturity_contract() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) is_shift_calculate() (in module jactus.core.time) is_weekend() (in module jactus.utilities.calendars) isc (jactus.contracts.PAMArrayState attribute) (jactus.core.states.ContractState attribute), [1]

J

jactus.cli module jactus.contracts module jactus.contracts.ann module jactus.contracts.base module jactus.contracts.capfl module jactus.contracts.cec module jactus.contracts.ceg module jactus.contracts.clm module jactus.contracts.com module jactus.contracts.csh module jactus.contracts.futur module jactus.contracts.fxout module jactus.contracts.lam module jactus.contracts.lax module jactus.contracts.nam module jactus.contracts.optns module jactus.contracts.pam module jactus.contracts.portfolio module jactus.contracts.stk module jactus.contracts.swaps module jactus.contracts.swppv module

jactus.contracts.ump module 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) LAMPayoffFunction (class in jactus.contracts.lam) LAMStateTransitionFunction (class in jactus.contracts.lam) LAX (jactus.core.types.ContractType attribute) LAXPayoffFunction (class in jactus.contracts.lax) LAXStateTransitionFunction (class in jactus.contracts.lax)

LG (jactus.core.types.ContractRole attribute) LinearAmortizerContract (class in jactus.contracts) (class in jactus.contracts.lam) list_risk_factors() (jactus.observers.scenario.Scenario method) load_attrs() (in module jactus.cli) load_from_list() (jactus.utilities.calendars.CustomCalendar method) log_level (jactus.cli.CLIState attribute)

M

M (jactus.core.types.PrepaymentEffect attribute) main() (in module jactus.cli) 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.contracts.futur.FutureContract attribute) (jactus.contracts.FutureContract attribute) (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute) MD (jactus.core.types.EventType attribute) merge() (jactus.core.events.EventSchedule method) merge_congruent_events() (in module jactus.contracts.swaps) (in module jactus.core.events) merge_scheduled_and_observed_events() (in module jactus.contracts) (in module jactus.contracts.base) 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.cli jactus.contracts jactus.contracts.ann jactus.contracts.base jactus.contracts.capfl jactus.contracts.cec jactus.contracts.ceg jactus.contracts.clm jactus.contracts.com jactus.contracts.csh jactus.contracts.futur jactus.contracts.fxout jactus.contracts.lam jactus.contracts.lax jactus.contracts.nam jactus.contracts.optns jactus.contracts.pam jactus.contracts.portfolio jactus.contracts.stk jactus.contracts.swaps jactus.contracts.swppv jactus.contracts.ump 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) NAMPayoffFunction (class in jactus.contracts.nam) NAMStateTransitionFunction (class in jactus.contracts.nam) NegativeAmortizerContract (class in jactus.contracts) (class in jactus.contracts.nam) next_business_day() (jactus.utilities.calendars.HolidayCalendar method) next_principal_redemption_amount (jactus.core.attributes.ContractAttributes attribute) NO_CALENDAR (jactus.core.types.Calendar attribute) no_color (jactus.cli.CLIState attribute) NoHolidayCalendar (class in jactus.utilities.calendars) nominal_interest_rate (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) nominal_interest_rate_2 (jactus.core.attributes.ContractAttributes attribute)

notional_principal (jactus.contracts.futur.FutureContract attribute) (jactus.contracts.FutureContract attribute) (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) notional_principal_2 (jactus.core.attributes.ContractAttributes attribute) nsc (jactus.contracts.PAMArrayState attribute) (jactus.core.states.ContractState attribute), [1] nt (jactus.contracts.PAMArrayState attribute) (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.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute)

option_strike_1 (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute) option_strike_2 (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute) option_type (jactus.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute) OptionContract (class in jactus.contracts) (class in jactus.contracts.optns) OptionPayoffFunction (class in jactus.contracts.optns) OptionStateTransitionFunction (class in jactus.contracts.optns) OPTNS (jactus.core.types.ContractType attribute) output (jactus.cli.CLIState attribute)

P

PAM (jactus.core.types.ContractType attribute) PAMArrayParams (class in jactus.contracts) PAMArrayState (class in jactus.contracts) PAMPayoffFunction (class in jactus.contracts.pam) PAMStateTransitionFunction (class in jactus.contracts.pam) parse_cycle() (in module jactus.core.time) parse_datetime() (in module jactus.cli) 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.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) penalty_type (jactus.contracts.PAMArrayParams attribute) (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) PlainVanillaSwapContract (class in jactus.contracts) (class in jactus.contracts.swppv) PlainVanillaSwapPayoffFunction (class in jactus.contracts.swppv) PlainVanillaSwapStateTransitionFunction (class in jactus.contracts.swppv) PP (jactus.core.types.EventType attribute) PR (jactus.core.types.EventType attribute) PRD (jactus.core.types.EventType attribute) precompute_pam_arrays() (in module jactus.contracts)

premium_discount_at_ied (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) prepare_attributes() (in module jactus.cli) prepare_pam_batch() (in module jactus.contracts) 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) pretty (jactus.cli.CLIState attribute) 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.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) price_at_termination_date (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) principal_redemption_anchor (jactus.core.attributes.ContractAttributes attribute) principal_redemption_cycle (jactus.core.attributes.ContractAttributes attribute) PrincipalAtMaturityContract (class in jactus.contracts) (class in jactus.contracts.pam) 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.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) rate_reset_cycle (jactus.core.attributes.ContractAttributes attribute) rate_reset_floor (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) rate_reset_market_object (jactus.core.attributes.ContractAttributes attribute) rate_reset_multiplier (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) rate_reset_next (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) rate_reset_spread (jactus.contracts.PAMArrayParams attribute) (jactus.core.attributes.ContractAttributes attribute) register_child() (jactus.observers.child_contract.MockChildContractObserver method) register_contract_type() (in module jactus.contracts) 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) risk_factor_observer (jactus.contracts.ann.AnnuityContract attribute) (jactus.contracts.AnnuityContract attribute) (jactus.contracts.base.BaseContract attribute) (jactus.contracts.BaseContract attribute) (jactus.contracts.CashContract attribute) (jactus.contracts.cec.CreditEnhancementCollateralContract attribute) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.com.CommodityContract attribute) (jactus.contracts.CommodityContract attribute) (jactus.contracts.CreditEnhancementCollateralContract attribute) (jactus.contracts.CreditEnhancementGuaranteeContract attribute) (jactus.contracts.csh.CashContract attribute) (jactus.contracts.GenericSwapContract attribute) (jactus.contracts.lam.LinearAmortizerContract attribute) (jactus.contracts.LinearAmortizerContract attribute) (jactus.contracts.nam.NegativeAmortizerContract attribute) (jactus.contracts.NegativeAmortizerContract attribute) (jactus.contracts.pam.PrincipalAtMaturityContract attribute) (jactus.contracts.PlainVanillaSwapContract attribute) (jactus.contracts.PrincipalAtMaturityContract attribute) (jactus.contracts.stk.StockContract attribute) (jactus.contracts.StockContract attribute) (jactus.contracts.swaps.GenericSwapContract attribute) (jactus.contracts.swppv.PlainVanillaSwapContract attribute)

RiskFactorObserver (class in jactus.observers.risk_factor) rngs (jactus.contracts.CashContract attribute) (jactus.contracts.csh.CashContract attribute) (jactus.contracts.pam.PrincipalAtMaturityContract attribute) (jactus.contracts.PrincipalAtMaturityContract attribute) role_sign (jactus.contracts.PAMArrayParams attribute) 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.contracts.OptionContract attribute) (jactus.contracts.optns.OptionContract attribute) (jactus.core.attributes.ContractAttributes attribute) simulate() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) (jactus.contracts.CallMoneyContract method) (jactus.contracts.capfl.CapFloorContract method) (jactus.contracts.CapFloorContract method) (jactus.contracts.cec.CreditEnhancementCollateralContract method) (jactus.contracts.ceg.CreditEnhancementGuaranteeContract method) (jactus.contracts.clm.CallMoneyContract method) (jactus.contracts.CreditEnhancementCollateralContract method) (jactus.contracts.CreditEnhancementGuaranteeContract method) (jactus.contracts.ExoticLinearAmortizerContract method) (jactus.contracts.fxout.FXOutrightContract method) (jactus.contracts.FXOutrightContract method) (jactus.contracts.GenericSwapContract method) (jactus.contracts.lax.ExoticLinearAmortizerContract method) (jactus.contracts.PlainVanillaSwapContract method) (jactus.contracts.swaps.GenericSwapContract method) (jactus.contracts.swppv.PlainVanillaSwapContract method)

simulate_pam_array() (in module jactus.contracts) simulate_pam_array_jit() (in module jactus.contracts) simulate_pam_portfolio() (in module jactus.contracts) simulate_portfolio() (in module jactus.contracts) (in module jactus.contracts.portfolio) SimulatedChildContractObserver (class in jactus.observers.child_contract) SimulationHistory (class in jactus.contracts) (class in jactus.contracts.base) sort_events() (in module jactus.core.events) sort_events_by_sequence() (in module jactus.contracts) (in module jactus.contracts.base) ST (jactus.core.types.ContractRole attribute) state_post (jactus.core.events.ContractEvent attribute), [1] state_pre (jactus.core.events.ContractEvent attribute), [1] states (jactus.contracts.base.SimulationHistory attribute), [1] (jactus.contracts.SimulationHistory 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) StockContract (class in jactus.contracts) (class in jactus.contracts.stk) StockPayoffFunction (class in jactus.contracts.stk) StockStateTransitionFunction (class in jactus.contracts.stk) 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.contracts.ann.ANNStateTransitionFunction method) (jactus.contracts.capfl.CapFloorStateTransitionFunction method) (jactus.contracts.cec.CECStateTransitionFunction method) (jactus.contracts.ceg.CEGStateTransitionFunction method) (jactus.contracts.clm.CLMStateTransitionFunction method) (jactus.contracts.com.CommodityStateTransitionFunction method) (jactus.contracts.csh.CashStateTransitionFunction method) (jactus.contracts.futur.FutureStateTransitionFunction method) (jactus.contracts.fxout.FXOutrightStateTransitionFunction method) (jactus.contracts.lam.LAMStateTransitionFunction method) (jactus.contracts.lax.LAXStateTransitionFunction method) (jactus.contracts.nam.NAMStateTransitionFunction method) (jactus.contracts.optns.OptionStateTransitionFunction method) (jactus.contracts.pam.PAMStateTransitionFunction method) (jactus.contracts.stk.StockStateTransitionFunction method) (jactus.contracts.swaps.GenericSwapStateTransitionFunction method) (jactus.contracts.swppv.PlainVanillaSwapStateTransitionFunction method) (jactus.contracts.ump.UMPStateTransitionFunction method) (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) UMPPayoffFunction (class in jactus.contracts.ump)

UMPStateTransitionFunction (class in jactus.contracts.ump) UndefinedMaturityProfileContract (class in jactus.contracts) (class in jactus.contracts.ump) 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() (jactus.contracts.base.BaseContract method) (jactus.contracts.BaseContract method) 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)