Index

A

abaquant.core.provenance module abaquant.credit.cdo module abaquant.credit.cds module abaquant.credit.copula module abaquant.credit.distribution module abaquant.credit.fundamentals module abaquant.credit.risk module abaquant.credit.transitions module abaquant.credit.types module abaquant.credit.valuation module abaquant.derivatives.analytics.distributions module abaquant.derivatives.analytics.parity module abaquant.derivatives.analytics.volatility module abaquant.derivatives.calibration.core module abaquant.derivatives.calibration.heston module abaquant.derivatives.calibration.sabr module abaquant.derivatives.comparison module abaquant.derivatives.exotics module abaquant.derivatives.forwards module abaquant.derivatives.models.bachelier module abaquant.derivatives.models.binomial module abaquant.derivatives.models.black_scholes module abaquant.derivatives.models.diagnostics module abaquant.derivatives.models.heston module abaquant.derivatives.models.merton module abaquant.derivatives.models.nig module abaquant.derivatives.models.parameters module abaquant.derivatives.models.sabr module abaquant.derivatives.models.variance_gamma module abaquant.derivatives.monte_carlo module abaquant.derivatives.numerics.carr_madan_fft module abaquant.derivatives.numerics.implied_volatility module abaquant.derivatives.simulation.gbm module abaquant.derivatives.simulation.levy module abaquant.derivatives.simulation.merton module abaquant.derivatives.strategies module abaquant.derivatives.trees module abaquant.derivatives.validation module abaquant.derivatives.vanilla module abaquant.financial_math.annuities module abaquant.financial_math.bonds module abaquant.financial_math.cashflows module abaquant.financial_math.corporate module abaquant.financial_math.equity module abaquant.financial_math.loans module abaquant.financial_math.portfolio module abaquant.financial_math.rates module abaquant.financial_math.risk module abaquant.financial_math.tvm module abaquant.marketdata.errors module abaquant.marketdata.financials.cache module abaquant.marketdata.financials.facade module abaquant.marketdata.financials.input_builder module abaquant.marketdata.financials.line_item_resolver module abaquant.marketdata.financials.models module abaquant.marketdata.financials.normalizer module

abaquant.marketdata.financials.repository module abaquant.marketdata.models module abaquant.marketdata.option_chain_analytics module abaquant.marketdata.providers.base module abaquant.marketdata.providers.financial_statements module abaquant.marketdata.providers.history module abaquant.marketdata.providers.options module abaquant.marketdata.providers.quotes module abaquant.marketdata.providers.sec module abaquant.marketdata.providers.yahoo module abaquant.marketdata.sessions module abaquant.marketdata.ticker module abaquant.marketdata.universe module abaquant.marketdata.universe_history module abaquant.marketdata.universe_portfolio module abaquant.marketdata.universe_statistics module abaquant.portfolio.backtesting module abaquant.portfolio.data module abaquant.portfolio.efficient_frontier module abaquant.portfolio.hierarchical module abaquant.portfolio.optimization module abaquant.portfolio.risk_metrics module abaquant.portfolio.solvers module abaquant.portfolio.stress_testing module abaquant.rates module abaquant.reports.exportable module abaquant.risk.dashboard module abaquant.visualization.core module abaquant.visualization.credit module abaquant.visualization.dashboard module abaquant.visualization.market module abaquant.visualization.options module abaquant.visualization.portfolio module active_returns() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) add_leg() (abaquant.derivatives.strategies.OptionStrategy method) allocate() (abaquant.portfolio.optimization.PortfolioAllocator method) altman_z_score() (abaquant.marketdata.ticker.TickerCreditMetrics method) amortization_schedule() (in module abaquant.financial_math.loans) (in module abaquant.rates) analytics() (abaquant.marketdata.ticker.TickerOptionAnalytics method) annual_rate (abaquant.rates.FredObservation attribute) annual_returns() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) annualized_covariance_from_returns() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) annualized_covariance_matrix (abaquant.portfolio.optimization.PortfolioComputation attribute) annualized_mean_returns (abaquant.portfolio.optimization.PortfolioComputation attribute) annualized_mean_returns_from_returns() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) annualized_return() (in module abaquant.portfolio.risk_metrics) annualized_volatility() (in module abaquant.portfolio.risk_metrics) arithmetic_asian_options() (in module abaquant.derivatives.exotics) arithmetic_gradient_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) arithmetic_gradient_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) as_dict() (abaquant.core.provenance.DataProvenance method) (abaquant.credit.fundamentals.CreditProxyAssessment method) (abaquant.credit.fundamentals.CreditScenarioAnalysis method) (abaquant.derivatives.calibration.core.CalibrationResult method) (abaquant.derivatives.models.diagnostics.DerivativeDiagnosticsReport method) (abaquant.derivatives.models.diagnostics.DerivativeScenarioGrid method) (abaquant.derivatives.strategies.OptionStrategy method) (abaquant.marketdata.models.PortfolioResult method) (abaquant.marketdata.option_chain_analytics.OptionSkewSummary method) (abaquant.portfolio.optimization.PortfolioScenarioAnalysis method) (abaquant.rates.DataProvenance method) (abaquant.reports.exportable.ExportableReport method) (abaquant.risk.dashboard.RiskDashboardSummary method) as_frame() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) (abaquant.portfolio.optimization.PortfolioScenarioAnalysis method) (abaquant.rates.RateCurve method) assess() (abaquant.marketdata.ticker.TickerCreditMetrics method) assess_from_financials() (abaquant.marketdata.ticker.TickerCreditMetrics method) asset_or_nothing_options() (in module abaquant.derivatives.exotics) asset_symbols (abaquant.portfolio.optimization.PortfolioComputation attribute) at_the_money_iv (abaquant.marketdata.option_chain_analytics.OptionSkewSummary attribute) available_score_weight (abaquant.credit.fundamentals.CreditProxyAssessment attribute) available_strategies() (abaquant.portfolio.optimization.PortfolioComputation method)

B

backtest() (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) (abaquant.portfolio.optimization.PortfolioAllocator method) (abaquant.portfolio.optimization.PortfolioScenarioAnalysis method) balance_sheet (abaquant.marketdata.financials.models.FinancialStatementSnapshot property) balance_sheet() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.financial_statements.FinancialStatementProvider method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) benchmark_equity_curve() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) benchmark_returns() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) benchmark_summary() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) beta_alpha_from_returns() (in module abaquant.financial_math.corporate) (in module abaquant.rates) binomial_probabilities_log() (in module abaquant.credit.cdo) binomial_tree() (in module abaquant.derivatives.trees) black_76() (in module abaquant.derivatives.vanilla) black_litterman() (abaquant.portfolio.optimization.PortfolioComputation method) black_scholes() (in module abaquant.derivatives.vanilla) BlackScholesMertonModel (class in abaquant.derivatives.models.black_scholes) BlackScholesMertonParameters (class in abaquant.derivatives.models.parameters) bond_price() (in module abaquant.financial_math.bonds) (in module abaquant.rates) bond_risk() (in module abaquant.financial_math.bonds) (in module abaquant.rates)

bond_values_per_rating() (in module abaquant.credit.valuation) bond_yield() (in module abaquant.financial_math.bonds) (in module abaquant.rates) BondData (class in abaquant.credit.types) break_even_points() (abaquant.derivatives.strategies.OptionStrategy method) break_even_price() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) (in module abaquant.derivatives.models.diagnostics) bsm() (abaquant.marketdata.ticker.TickerOptionAnalytics method) bsm_d1_d2() (in module abaquant.derivatives.vanilla) bsm_d1_d2_summary() (in module abaquant.derivatives.models.black_scholes) bsm_greeks() (in module abaquant.derivatives.vanilla) bsm_option_prices() (in module abaquant.derivatives.vanilla) BSMFlatVolCalibration (class in abaquant.derivatives.calibration.core) build_backtest_report() (in module abaquant.reports.exportable) build_credit_inputs() (in module abaquant.marketdata.financials.input_builder) build_credit_report() (in module abaquant.reports.exportable) build_option_model_report() (in module abaquant.reports.exportable) build_portfolio_allocator_report() (in module abaquant.reports.exportable) build_risk_dashboard_report() (in module abaquant.reports.exportable) build_transition_matrix() (in module abaquant.credit.transitions) bull_call_spread() (abaquant.derivatives.strategies.OptionStrategy class method) butterfly() (abaquant.derivatives.strategies.OptionStrategy class method) buy_call() (abaquant.derivatives.strategies.OptionStrategy method) buy_put() (abaquant.derivatives.strategies.OptionStrategy method) buy_underlying() (abaquant.derivatives.strategies.OptionStrategy method)

C

cache_status() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) (abaquant.rates.FredRateProvider method) calculate_credit_proxy_metrics() (in module abaquant.credit.fundamentals) calculate_greeks() (in module abaquant.derivatives.vanilla) calibrate_bsm_flat_vol() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) calibrate_heston() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) (in module abaquant.derivatives.calibration.heston) calibrate_sabr() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) (in module abaquant.derivatives.calibration.sabr) CalibrationError CalibrationResult (class in abaquant.derivatives.calibration.core) call_price() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method) (abaquant.derivatives.models.heston.HestonStochasticVolatilityModel method) (abaquant.derivatives.models.merton.MertonJumpDiffusionModel method) (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.sabr.SABRVolatilityModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method) calmar_ratio() (in module abaquant.portfolio.risk_metrics) canonical_line_items (abaquant.marketdata.financials.models.FinancialStatementSnapshot property) capm_cost_of_equity() (in module abaquant.financial_math.corporate) (in module abaquant.rates) carr_madan_call_price() (in module abaquant.derivatives.numerics.carr_madan_fft) carr_madan_option_price() (in module abaquant.derivatives.numerics.carr_madan_fft) cash_and_cash_equivalents (abaquant.credit.fundamentals.CreditAnalysisInputs property) cash_and_cash_equivalents() (abaquant.marketdata.financials.facade.FinancialStatements method) cash_flow_statement (abaquant.marketdata.financials.models.FinancialStatementSnapshot property) cash_flow_statement() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.financial_statements.FinancialStatementProvider method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) cash_or_nothing_options() (in module abaquant.derivatives.exotics) cds_accrued_premium_table() (in module abaquant.credit.cds) cds_contingent_leg_table() (in module abaquant.credit.cds) cds_fair_spread() (in module abaquant.credit.cds) cds_premium_leg_table() (in module abaquant.credit.cds) cds_probability_table() (in module abaquant.credit.cds) chain() (abaquant.marketdata.ticker.TickerOptionAnalytics method) characteristic_function() (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method) cik (abaquant.marketdata.providers.sec.SecCompanyFacts attribute) cik_for_symbol() (abaquant.marketdata.providers.sec.SecXbrlProvider method) clear() (abaquant.marketdata.financials.repository.FinancialStatementRepository method) clear_cache() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) (abaquant.rates.FredRateProvider method) clear_observation() (abaquant.rates.FredJsonCacheStore method)

clear_sec_cache() (abaquant.marketdata.financials.facade.FinancialStatements method) coerce_backtest_weights() (in module abaquant.portfolio.backtesting) commodity_forward_price() (in module abaquant.derivatives.forwards) company_facts() (abaquant.marketdata.providers.sec.SecXbrlProvider method) company_facts_path() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) company_facts_status() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) compare_all_models() (in module abaquant.derivatives.comparison) compare_models() (abaquant.marketdata.ticker.TickerOptionAnalytics method) compound_options() (in module abaquant.derivatives.exotics) compute_all_metrics() (in module abaquant.portfolio.risk_metrics) conditional_default_probability() (in module abaquant.credit.cdo) conditional_drawdown_at_risk() (in module abaquant.portfolio.risk_metrics) configure_visualization() (in module abaquant.visualization.core) continuous_annuity_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) continuous_annuity_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) continuous_future_value() (in module abaquant.financial_math.tvm) (in module abaquant.rates) continuous_present_value() (in module abaquant.financial_math.tvm) (in module abaquant.rates) continuous_to_effective_rate() (in module abaquant.financial_math.rates) (in module abaquant.rates) continuous_to_nominal_rate() (in module abaquant.financial_math.rates) (in module abaquant.rates) contribution_summary() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) convert_nominal_frequency() (in module abaquant.financial_math.rates) (in module abaquant.rates) correlation() (abaquant.risk.dashboard.RiskDashboard method) correlation_summary() (abaquant.risk.dashboard.RiskDashboard method) cost_summary() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) covariance() (abaquant.marketdata.universe_statistics.UniverseStatistics method) CoxRossRubinsteinModel (class in abaquant.derivatives.models.binomial) credit_inputs() (abaquant.marketdata.financials.facade.FinancialStatements method) credit_scores() (abaquant.risk.dashboard.RiskDashboard method) credit_summary() (abaquant.risk.dashboard.RiskDashboard method) CreditAnalysisInputs (class in abaquant.credit.fundamentals) CreditProxyAssessment (class in abaquant.credit.fundamentals) CreditScenarioAnalysis (class in abaquant.credit.fundamentals) crr_binomial_tree() (in module abaquant.derivatives.trees) crr_tree_parameters() (in module abaquant.derivatives.models.binomial) cumulative_returns() (in module abaquant.portfolio.risk_metrics) current_assets (abaquant.credit.fundamentals.CreditAnalysisInputs property) current_assets() (abaquant.marketdata.financials.facade.FinancialStatements method) current_extrinsic_value() (in module abaquant.derivatives.models.diagnostics) current_intrinsic_value() (in module abaquant.derivatives.models.diagnostics) current_liabilities (abaquant.credit.fundamentals.CreditAnalysisInputs property) current_liabilities() (abaquant.marketdata.financials.facade.FinancialStatements method) cvar_historical() (in module abaquant.portfolio.risk_metrics)

D

DataProvenance (class in abaquant.core.provenance) (class in abaquant.rates) dcf_sensitivity_matrix() (in module abaquant.financial_math.corporate) (in module abaquant.rates) dcf_valuation() (in module abaquant.financial_math.corporate) (in module abaquant.rates) decompose_periods() (in module abaquant.financial_math.tvm) (in module abaquant.rates) delta() (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) derivative_diagnostics() (in module abaquant.derivatives.models.diagnostics) derivative_scenario_grid() (in module abaquant.derivatives.models.diagnostics) DerivativeDiagnosticsReport (class in abaquant.derivatives.models.diagnostics) DerivativeScenarioGrid (class in abaquant.derivatives.models.diagnostics)

diagnostics() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) disclosures (abaquant.credit.fundamentals.CreditProxyAssessment attribute) discount_factor() (abaquant.rates.RateCurve method) display_label() (abaquant.derivatives.strategies.OptionStrategyLeg method) distribution_moments() (in module abaquant.derivatives.analytics.distributions) dividend_yield() (abaquant.marketdata.ticker.MarketTicker method) down_and_out_barrier_option() (in module abaquant.derivatives.exotics) downside_deviation() (in module abaquant.portfolio.risk_metrics) DownsideRiskAllocator (class in abaquant.portfolio.optimization) drawdown() (abaquant.risk.dashboard.RiskDashboard method) drawdown_events() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) drawdown_series() (in module abaquant.portfolio.risk_metrics) drawdowns() (abaquant.portfolio.backtesting.PortfolioBacktestResult method)

E

earnings_history (abaquant.credit.fundamentals.CreditAnalysisInputs property) ebit (abaquant.credit.fundamentals.CreditAnalysisInputs property) ebit() (abaquant.marketdata.financials.facade.FinancialStatements method) ebitda (abaquant.credit.fundamentals.CreditAnalysisInputs property) ebitda() (abaquant.marketdata.financials.facade.FinancialStatements method) effective_annuity_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) effective_annuity_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) effective_to_nominal_rate() (in module abaquant.financial_math.rates) (in module abaquant.rates) enriched_chain() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) equal_weight() (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) (abaquant.portfolio.optimization.MeanVarianceAllocator method) (abaquant.portfolio.optimization.PortfolioComputation method) (in module abaquant.financial_math.portfolio) (in module abaquant.rates) equal_weight_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates)

equity_curve() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) (abaquant.risk.dashboard.RiskDashboard method) error_table() (abaquant.derivatives.calibration.core.CalibrationResult method) evaluate() (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) evaluate_custom_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) evaluate_custom_portfolio_from_prices() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) excess_kurtosis() (in module abaquant.derivatives.analytics.distributions) exchange_options() (in module abaquant.derivatives.exotics) exotic_payoff_leg() (in module abaquant.derivatives.exotics) expected_returns() (abaquant.marketdata.universe_statistics.UniverseStatistics method) expected_tranche_survival_given_factor() (in module abaquant.credit.cdo) expected_value_and_sigma() (in module abaquant.credit.distribution) expirations() (abaquant.marketdata.ticker.TickerOptionAnalytics method) ExportableReport (class in abaquant.reports.exportable) extrinsic_value() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method)

F

fast_info() (abaquant.marketdata.providers.quotes.QuoteProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) finalize_figure() (in module abaquant.visualization.core) FinancialLineItem (class in abaquant.marketdata.financials.models) FinancialStatementCacheStore (class in abaquant.marketdata.financials.cache) FinancialStatementProvider (class in abaquant.marketdata.providers.financial_statements) FinancialStatementRepository (class in abaquant.marketdata.financials.repository) FinancialStatements (class in abaquant.marketdata.financials.facade) FinancialStatementSnapshot (class in abaquant.marketdata.financials.models) find_label() (in module abaquant.marketdata.financials.line_item_resolver) fit() (abaquant.derivatives.calibration.core.BSMFlatVolCalibration method) (abaquant.derivatives.calibration.core.HestonCalibration method) (abaquant.derivatives.calibration.core.SABRSmileCalibration method) floating_lookback_options() (in module abaquant.derivatives.exotics) forward_contract_value() (in module abaquant.derivatives.forwards) forward_moneyness() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) (in module abaquant.derivatives.models.diagnostics) forward_price() (in module abaquant.derivatives.forwards)

forward_price_continuous() (in module abaquant.derivatives.analytics.parity) forward_price_with_continuous_dividend() (in module abaquant.derivatives.forwards) forward_price_with_discrete_dividends() (in module abaquant.derivatives.forwards) forward_price_with_yield() (in module abaquant.derivatives.forwards) fra() (in module abaquant.derivatives.forwards) frame() (abaquant.reports.exportable.ReportTable method) frame_from_payload() (in module abaquant.marketdata.financials.normalizer) frame_to_payload() (in module abaquant.marketdata.financials.normalizer) FredJsonCacheStore (class in abaquant.rates) FredObservation (class in abaquant.rates) FredRateProvider (class in abaquant.rates) from_dict() (abaquant.core.provenance.DataProvenance class method) (abaquant.rates.DataProvenance class method) from_rates() (abaquant.rates.RateCurve class method) full_tree() (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) future_value() (in module abaquant.financial_math.tvm) (in module abaquant.rates) fx_forward_price() (in module abaquant.derivatives.forwards)

G

gap_options() (in module abaquant.derivatives.exotics) gauss_hermite_normal() (in module abaquant.credit.cdo) gaussian_copula_simulation() (in module abaquant.credit.copula) generated_metadata() (in module abaquant.reports.exportable) geometric_asian_options() (in module abaquant.derivatives.exotics) geometric_gradient_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) geometric_gradient_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) get() (abaquant.marketdata.financials.repository.FinancialStatementRepository method) get_line_item() (abaquant.marketdata.financials.facade.FinancialStatements method) get_line_item_details() (abaquant.marketdata.financials.facade.FinancialStatements method) get_rate_curve() (in module abaquant.rates)

get_returns() (in module abaquant.portfolio.data) get_ticker() (in module abaquant.marketdata.ticker) get_tickers() (in module abaquant.marketdata.universe) get_visualization_theme() (in module abaquant.visualization.core) gordon_shapiro_valuation() (in module abaquant.financial_math.equity) (in module abaquant.rates) greeks() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method) (abaquant.marketdata.ticker.TickerOptionAnalytics method) gross_payoff() (abaquant.derivatives.strategies.OptionStrategy method) (abaquant.derivatives.strategies.OptionStrategyLeg method) gross_profit (abaquant.credit.fundamentals.CreditAnalysisInputs property) gross_profit() (abaquant.marketdata.financials.facade.FinancialStatements method)

H

HestonCalibration (class in abaquant.derivatives.calibration.core) HestonStochasticVolatilityModel (class in abaquant.derivatives.models.heston) hierarchical_risk_parity() (abaquant.portfolio.optimization.RiskBasedAllocator method) (in module abaquant.portfolio.hierarchical) historical_mean_returns() (in module abaquant.financial_math.portfolio) (in module abaquant.rates)

history() (abaquant.marketdata.providers.history.PriceHistoryProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) history_for_item() (in module abaquant.marketdata.financials.line_item_resolver) history_many() (abaquant.marketdata.providers.history.PriceHistoryProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) hrp() (abaquant.portfolio.optimization.PortfolioComputation method)

I

implied_normal_vol() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) implied_normal_volatility() (in module abaquant.derivatives.numerics.implied_volatility) implied_vol() (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method) (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.sabr.SABRVolatilityModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method) implied_volatility_black_scholes() (in module abaquant.derivatives.numerics.implied_volatility) implied_volatility_bsm() (in module abaquant.derivatives.vanilla) income_statement (abaquant.marketdata.financials.models.FinancialStatementSnapshot property) income_statement() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.financial_statements.FinancialStatementProvider method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) independent_distribution() (in module abaquant.credit.distribution) info() (abaquant.marketdata.providers.quotes.QuoteProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) (abaquant.marketdata.ticker.TickerFundamentalData method)

InsufficientHistoryError intercept (abaquant.marketdata.option_chain_analytics.OptionSkewSummary attribute) interest_expense (abaquant.credit.fundamentals.CreditAnalysisInputs property) interest_expense() (abaquant.marketdata.financials.facade.FinancialStatements method) intrinsic_time_value() (in module abaquant.derivatives.analytics.parity) intrinsic_value() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) inventory (abaquant.credit.fundamentals.CreditAnalysisInputs property) inventory() (abaquant.marketdata.financials.facade.FinancialStatements method) inverse_variance() (abaquant.portfolio.optimization.PortfolioComputation method) (abaquant.portfolio.optimization.RiskBasedAllocator method) inverse_volatility() (abaquant.portfolio.optimization.PortfolioComputation method) (abaquant.portfolio.optimization.RiskBasedAllocator method) iron_condor() (abaquant.derivatives.strategies.OptionStrategy class method) is_stale() (abaquant.marketdata.financials.repository.FinancialStatementRepository static method) iv_rv_spread() (in module abaquant.derivatives.analytics.volatility) iv_smile() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) iv_surface() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method)

J

json_value() (in module abaquant.marketdata.financials.normalizer)

K

kelly_fraction() (abaquant.portfolio.optimization.PortfolioComputation method)

L

latest_value() (in module abaquant.marketdata.financials.line_item_resolver) LatticeParameters (class in abaquant.derivatives.models.parameters) legs (abaquant.derivatives.strategies.OptionStrategy property) leverage_history (abaquant.credit.fundamentals.CreditAnalysisInputs property) listed_implied_volatility() (abaquant.marketdata.ticker.TickerOptionAnalytics method) live_forward_value() (in module abaquant.derivatives.forwards) load() (abaquant.marketdata.financials.cache.FinancialStatementCacheStore method) load_company_facts() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) load_observation() (abaquant.rates.FredJsonCacheStore method)

load_ticker_mapping() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) log_binomial_coefficient() (in module abaquant.credit.cdo) log_return_volatility() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) log_returns_from_prices() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) lognormal_vol() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) long_term_debt (abaquant.credit.fundamentals.CreditAnalysisInputs property) long_term_debt() (abaquant.marketdata.financials.facade.FinancialStatements method)

M

ManualRateProvider (class in abaquant.rates) market_value_equity (abaquant.credit.fundamentals.CreditAnalysisInputs property) MarketDataError MarketDataProvider (class in abaquant.marketdata.providers.base) MarketDataProviderError MarketDataValidationError MarketTicker (class in abaquant.marketdata.ticker) MarketUniverse (class in abaquant.marketdata.universe) MarketUniverseHistory (in module abaquant.marketdata.universe_history) MarketUniversePortfolio (in module abaquant.marketdata.universe_portfolio) MarketUniverseStatistics (in module abaquant.marketdata.universe_statistics) markowitz_frontier() (in module abaquant.portfolio.efficient_frontier) matplotlib_axes() (in module abaquant.visualization.core) maturities (abaquant.rates.RateCurve property) maturity_years (abaquant.rates.FredObservation attribute) max_calmar() (abaquant.portfolio.optimization.PortfolioComputation method) max_decorrelation() (abaquant.portfolio.optimization.PortfolioComputation method) max_diversification() (abaquant.portfolio.optimization.PortfolioComputation method) max_drawdown() (in module abaquant.portfolio.risk_metrics) max_entropy() (abaquant.portfolio.optimization.PortfolioComputation method) max_loss() (abaquant.derivatives.strategies.OptionStrategy method) max_omega() (abaquant.portfolio.optimization.PortfolioComputation method) max_profit() (abaquant.derivatives.strategies.OptionStrategy method) max_return() (abaquant.portfolio.optimization.PortfolioComputation method) max_sharpe() (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) (abaquant.portfolio.optimization.PortfolioComputation method) max_sharpe_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) max_sortino() (abaquant.portfolio.optimization.PortfolioComputation method) maximum_calmar() (abaquant.portfolio.optimization.DownsideRiskAllocator method) maximum_decorrelation() (abaquant.portfolio.optimization.RiskBasedAllocator method) maximum_diversification() (abaquant.portfolio.optimization.RiskBasedAllocator method) maximum_entropy() (abaquant.portfolio.optimization.RiskBasedAllocator method) maximum_omega() (abaquant.portfolio.optimization.DownsideRiskAllocator method) maximum_return() (abaquant.portfolio.optimization.MeanVarianceAllocator method) maximum_sharpe() (abaquant.portfolio.optimization.MeanVarianceAllocator method) maximum_sharpe_weights() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) maximum_sortino() (abaquant.portfolio.optimization.DownsideRiskAllocator method) MeanVarianceAllocator (class in abaquant.portfolio.optimization) merge_provenance() (in module abaquant.core.provenance) merton_jump_statistics() (in module abaquant.derivatives.models.merton) MertonJumpDiffusionModel (class in abaquant.derivatives.models.merton) metrics (abaquant.credit.fundamentals.CreditProxyAssessment attribute) min_cdar() (abaquant.portfolio.optimization.PortfolioComputation method) min_cvar() (abaquant.portfolio.optimization.PortfolioComputation method) min_neg_skewness() (abaquant.portfolio.optimization.PortfolioComputation method) min_tail_kurtosis() (abaquant.portfolio.optimization.PortfolioComputation method) min_variance() (abaquant.portfolio.optimization.PortfolioComputation method) min_variance_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) minimum_cdar() (abaquant.portfolio.optimization.DownsideRiskAllocator method) minimum_cvar() (abaquant.portfolio.optimization.DownsideRiskAllocator method) minimum_tail_kurtosis() (abaquant.portfolio.optimization.DownsideRiskAllocator method) minimum_variance() (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) (abaquant.portfolio.optimization.MeanVarianceAllocator method) minimum_variance_weights() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) model_greeks() (in module abaquant.derivatives.models.diagnostics) module abaquant.core.provenance abaquant.credit.cdo abaquant.credit.cds abaquant.credit.copula abaquant.credit.distribution abaquant.credit.fundamentals abaquant.credit.risk abaquant.credit.transitions abaquant.credit.types abaquant.credit.valuation abaquant.derivatives.analytics.distributions abaquant.derivatives.analytics.parity abaquant.derivatives.analytics.volatility abaquant.derivatives.calibration.core abaquant.derivatives.calibration.heston abaquant.derivatives.calibration.sabr abaquant.derivatives.comparison abaquant.derivatives.exotics abaquant.derivatives.forwards abaquant.derivatives.models.bachelier abaquant.derivatives.models.binomial abaquant.derivatives.models.black_scholes abaquant.derivatives.models.diagnostics abaquant.derivatives.models.heston abaquant.derivatives.models.merton abaquant.derivatives.models.nig abaquant.derivatives.models.parameters abaquant.derivatives.models.sabr abaquant.derivatives.models.variance_gamma abaquant.derivatives.monte_carlo abaquant.derivatives.numerics.carr_madan_fft abaquant.derivatives.numerics.implied_volatility abaquant.derivatives.simulation.gbm abaquant.derivatives.simulation.levy abaquant.derivatives.simulation.merton abaquant.derivatives.strategies abaquant.derivatives.trees abaquant.derivatives.validation abaquant.derivatives.vanilla abaquant.financial_math.annuities abaquant.financial_math.bonds abaquant.financial_math.cashflows abaquant.financial_math.corporate abaquant.financial_math.equity abaquant.financial_math.loans abaquant.financial_math.portfolio abaquant.financial_math.rates abaquant.financial_math.risk abaquant.financial_math.tvm abaquant.marketdata.errors abaquant.marketdata.financials.cache abaquant.marketdata.financials.facade abaquant.marketdata.financials.input_builder abaquant.marketdata.financials.line_item_resolver abaquant.marketdata.financials.models abaquant.marketdata.financials.normalizer abaquant.marketdata.financials.repository abaquant.marketdata.models abaquant.marketdata.option_chain_analytics abaquant.marketdata.providers.base abaquant.marketdata.providers.financial_statements abaquant.marketdata.providers.history abaquant.marketdata.providers.options abaquant.marketdata.providers.quotes abaquant.marketdata.providers.sec abaquant.marketdata.providers.yahoo abaquant.marketdata.sessions abaquant.marketdata.ticker abaquant.marketdata.universe abaquant.marketdata.universe_history abaquant.marketdata.universe_portfolio abaquant.marketdata.universe_statistics abaquant.portfolio.backtesting abaquant.portfolio.data abaquant.portfolio.efficient_frontier abaquant.portfolio.hierarchical abaquant.portfolio.optimization abaquant.portfolio.risk_metrics abaquant.portfolio.solvers abaquant.portfolio.stress_testing abaquant.rates abaquant.reports.exportable abaquant.risk.dashboard abaquant.visualization.core abaquant.visualization.credit abaquant.visualization.dashboard abaquant.visualization.market abaquant.visualization.options abaquant.visualization.portfolio

moneyness() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) monte_carlo_bsm() (in module abaquant.derivatives.monte_carlo) monte_carlo_portfolio_cloud() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) monte_carlo_portfolios() (in module abaquant.portfolio.efficient_frontier) monte_carlo_var_cvar() (in module abaquant.financial_math.risk) (in module abaquant.rates) monthly_returns() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) multiples_valuation() (in module abaquant.financial_math.equity) (in module abaquant.rates) mvsk_neg_utility() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) mvsk_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates)

N

net_inception_cost() (abaquant.derivatives.strategies.OptionStrategy method) (abaquant.derivatives.strategies.OptionStrategyLeg method) net_income (abaquant.credit.fundamentals.CreditAnalysisInputs property) net_income() (abaquant.marketdata.financials.facade.FinancialStatements method) nominal_annuity_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) nominal_annuity_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) nominal_to_continuous_rate() (in module abaquant.financial_math.rates) (in module abaquant.rates)

nominal_to_effective_rate() (in module abaquant.financial_math.rates) (in module abaquant.rates) NormalBachelierModel (class in abaquant.derivatives.models.bachelier) NormalInverseGaussianModel (class in abaquant.derivatives.models.nig) normalize_price_panel() (in module abaquant.marketdata.universe_history) normalize_statement_frame() (in module abaquant.marketdata.financials.normalizer) normalize_symbols() (in module abaquant.marketdata.universe) normalize_weights() (in module abaquant.portfolio.solvers) number_of_periods() (in module abaquant.financial_math.tvm) (in module abaquant.rates)

O

observation_date (abaquant.rates.FredObservation attribute) observation_path() (abaquant.rates.FredJsonCacheStore method) observation_status() (abaquant.rates.FredJsonCacheStore method) observations (abaquant.marketdata.option_chain_analytics.OptionSkewSummary attribute) open_interest_grid() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) operating_cash_flow (abaquant.credit.fundamentals.CreditAnalysisInputs property) operating_cash_flow() (abaquant.marketdata.financials.facade.FinancialStatements method) optimize() (abaquant.portfolio.optimization.PortfolioComputation method) optimize_portfolio_strategies() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) option() (abaquant.derivatives.strategies.OptionStrategyLeg class method) option_chain() (abaquant.marketdata.providers.options.OptionChainProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method)

option_expirations() (abaquant.marketdata.providers.options.OptionChainProvider method) (abaquant.marketdata.providers.yahoo.YahooFinanceProvider method) option_payoff_leg() (in module abaquant.derivatives.strategies) option_price() (in module abaquant.derivatives.models.diagnostics) option_type (abaquant.marketdata.option_chain_analytics.OptionSkewSummary attribute) OptionalDependencyError OptionChainAnalytics (class in abaquant.marketdata.option_chain_analytics) OptionChainProvider (class in abaquant.marketdata.providers.options) OptionDiagnosticsMixin (class in abaquant.derivatives.models.diagnostics) OptionSkewSummary (class in abaquant.marketdata.option_chain_analytics) OptionStrategy (class in abaquant.derivatives.strategies) OptionStrategyLeg (class in abaquant.derivatives.strategies)

P

parameter_table() (abaquant.derivatives.calibration.core.CalibrationResult method) parametric_var() (in module abaquant.financial_math.risk) (in module abaquant.rates) parity_check() (in module abaquant.derivatives.analytics.parity) path() (abaquant.marketdata.financials.cache.FinancialStatementCacheStore method) payload (abaquant.marketdata.providers.sec.SecCompanyFacts attribute) payoff() (abaquant.derivatives.strategies.OptionStrategy method) periodic_returns (abaquant.portfolio.optimization.PortfolioComputation attribute) periods_for_annuity_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) periods_for_annuity_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) periods_for_arithmetic_gradient_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) periods_for_arithmetic_gradient_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) periods_for_geometric_gradient_future_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) periods_for_geometric_gradient_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) perpetual_option() (in module abaquant.derivatives.exotics) perpetuity_present_value() (in module abaquant.financial_math.annuities) (in module abaquant.rates) piotroski_f_score() (abaquant.marketdata.ticker.TickerCreditMetrics method) piotroski_signals (abaquant.credit.fundamentals.CreditProxyAssessment attribute) pivot() (abaquant.derivatives.models.diagnostics.DerivativeScenarioGrid method) portfolio_return() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) portfolio_returns() (abaquant.risk.dashboard.RiskDashboard method) (in module abaquant.portfolio.risk_metrics) portfolio_sharpe() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) portfolio_summary() (abaquant.risk.dashboard.RiskDashboard method) portfolio_variance() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) portfolio_volatility() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) PortfolioAllocator (class in abaquant.portfolio.optimization) PortfolioBacktestResult (class in abaquant.portfolio.backtesting) PortfolioComputation (class in abaquant.portfolio.optimization)

PortfolioEstimationContext (class in abaquant.portfolio.optimization) PortfolioOptimizationError PortfolioResult (class in abaquant.marketdata.models) PortfolioScenarioAnalysis (class in abaquant.portfolio.optimization) PortfolioValidationError present_value() (in module abaquant.financial_math.tvm) (in module abaquant.rates) present_value_of_dividends() (in module abaquant.financial_math.cashflows) (in module abaquant.rates) present_value_of_irregular_cashflows() (in module abaquant.financial_math.cashflows) (in module abaquant.rates) previous_current_assets (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_current_liabilities (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_gross_profit (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_long_term_debt (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_net_income (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_revenue (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_shares_outstanding (abaquant.credit.fundamentals.CreditAnalysisInputs property) previous_total_assets (abaquant.credit.fundamentals.CreditAnalysisInputs property) price() (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) (abaquant.derivatives.models.merton.MertonJumpDiffusionModel method) PriceHistoryProvider (class in abaquant.marketdata.providers.history) prices() (abaquant.marketdata.ticker.TickerHistory method) (abaquant.marketdata.universe_history.UniverseHistory method) profile() (abaquant.derivatives.strategies.OptionStrategy method) profit() (abaquant.derivatives.strategies.OptionStrategy method) (abaquant.derivatives.strategies.OptionStrategyLeg method) protective_put() (abaquant.derivatives.strategies.OptionStrategy class method) provenance_dict() (abaquant.core.provenance.ProvenanceMixin method) provenance_from_dataframe() (in module abaquant.core.provenance) ProvenanceMixin (class in abaquant.core.provenance) proxy_metrics() (abaquant.marketdata.ticker.TickerCreditMetrics method) put_price() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method) (abaquant.derivatives.models.heston.HestonStochasticVolatilityModel method) (abaquant.derivatives.models.merton.MertonJumpDiffusionModel method) (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.sabr.SABRVolatilityModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method)

Q

QuoteProvider (class in abaquant.marketdata.providers.quotes)

R

rate_curve() (abaquant.rates.FredRateProvider method) (abaquant.rates.ManualRateProvider method) rate_of_return() (in module abaquant.financial_math.tvm) (in module abaquant.rates) RateCurve (class in abaquant.rates) rates (abaquant.rates.RateCurve property) RatesProviderError RatesValidationError rating_idx (abaquant.credit.types.BondData attribute) raw_tables() (abaquant.marketdata.financials.models.FinancialStatementSnapshot method) raw_value_percent (abaquant.rates.FredObservation attribute) realized_vol() (in module abaquant.derivatives.analytics.volatility) realized_volatility() (abaquant.marketdata.ticker.TickerHistory method) rebalance_dates() (in module abaquant.portfolio.backtesting) refresh() (abaquant.marketdata.financials.facade.FinancialStatements method) reinvestment_table() (in module abaquant.financial_math.rates) (in module abaquant.rates) remove() (abaquant.marketdata.financials.cache.FinancialStatementCacheStore method) remove_company_facts() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) report() (abaquant.credit.fundamentals.CreditProxyAssessment method) (abaquant.credit.fundamentals.CreditScenarioAnalysis method) (abaquant.derivatives.calibration.core.CalibrationResult method) (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) (abaquant.portfolio.backtesting.PortfolioBacktestResult method) (abaquant.portfolio.optimization.PortfolioAllocator method) (abaquant.risk.dashboard.RiskDashboard method) ReportSection (class in abaquant.reports.exportable) ReportTable (class in abaquant.reports.exportable) require_matplotlib() (in module abaquant.visualization.core) require_plotly() (in module abaquant.visualization.core)

required_equity_return() (in module abaquant.financial_math.equity) (in module abaquant.rates) reset_visualization_theme() (in module abaquant.visualization.core) resolve_line_items() (in module abaquant.marketdata.financials.line_item_resolver) resolve_provider() (in module abaquant.marketdata.universe) resolve_theme() (in module abaquant.visualization.core) retained_earnings (abaquant.credit.fundamentals.CreditAnalysisInputs property) retained_earnings() (abaquant.marketdata.financials.facade.FinancialStatements method) retrieved_at_utc (abaquant.marketdata.providers.sec.SecCompanyFacts attribute) return_table() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) returns() (abaquant.marketdata.universe_history.UniverseHistory method) (abaquant.portfolio.backtesting.PortfolioBacktestResult method) revenue (abaquant.credit.fundamentals.CreditAnalysisInputs property) revenue() (abaquant.marketdata.financials.facade.FinancialStatements method) rich_cheap_table() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) risk_contribution() (abaquant.risk.dashboard.RiskDashboard method) risk_contribution_summary() (abaquant.risk.dashboard.RiskDashboard method) risk_parity() (abaquant.portfolio.optimization.PortfolioComputation method) (abaquant.portfolio.optimization.RiskBasedAllocator method) risk_parity_objective() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) risk_parity_portfolio() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) RiskBasedAllocator (class in abaquant.portfolio.optimization) RiskDashboard (class in abaquant.risk.dashboard) RiskDashboardSummary (class in abaquant.risk.dashboard) rolling_metrics() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) run_all_scenarios() (in module abaquant.portfolio.stress_testing) run_backtest() (in module abaquant.portfolio.backtesting) run_rebalanced_backtest() (in module abaquant.portfolio.backtesting) run_stress_test() (in module abaquant.portfolio.stress_testing)

S

SABRSmileCalibration (class in abaquant.derivatives.calibration.core) SABRVolatilityModel (class in abaquant.derivatives.models.sabr) sample_covariance() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) save() (abaquant.marketdata.financials.cache.FinancialStatementCacheStore method) (abaquant.reports.exportable.ExportableReport method) save_company_facts() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) save_figure() (in module abaquant.visualization.core) save_observation() (abaquant.rates.FredJsonCacheStore method) save_ticker_mapping() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) scale_var_cvar() (in module abaquant.credit.risk) scenario_analysis() (abaquant.credit.fundamentals.CreditProxyAssessment method) (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics method) (abaquant.portfolio.optimization.PortfolioAllocator method) (abaquant.portfolio.optimization.PortfolioScenarioAnalysis method) scenario_grid() (abaquant.derivatives.models.diagnostics.OptionDiagnosticsMixin method) sec_cache_status() (abaquant.marketdata.financials.facade.FinancialStatements method) sec_company_facts() (abaquant.marketdata.financials.facade.FinancialStatements method) sec_facts() (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.providers.financial_statements.FinancialStatementProvider method) (abaquant.marketdata.providers.sec.SecXbrlProvider method) SecCompanyFacts (class in abaquant.marketdata.providers.sec) SecJsonCacheStore (class in abaquant.marketdata.providers.sec) second_order_greeks() (in module abaquant.derivatives.vanilla) SecXbrlProvider (class in abaquant.marketdata.providers.sec) select_option_greeks() (in module abaquant.derivatives.models.diagnostics) sell_call() (abaquant.derivatives.strategies.OptionStrategy method) sell_put() (abaquant.derivatives.strategies.OptionStrategy method) sell_underlying() (abaquant.derivatives.strategies.OptionStrategy method) series_id (abaquant.rates.FredObservation attribute) shares_outstanding (abaquant.credit.fundamentals.CreditAnalysisInputs property)

shares_outstanding() (abaquant.marketdata.financials.facade.FinancialStatements method) sharpe_ratio() (in module abaquant.portfolio.risk_metrics) simple_chooser_option() (in module abaquant.derivatives.exotics) simple_forward_price() (in module abaquant.derivatives.forwards) simple_returns_from_prices() (in module abaquant.financial_math.portfolio) (in module abaquant.rates) simulate_gbm_paths() (in module abaquant.derivatives.simulation.gbm) simulate_merton_paths() (in module abaquant.derivatives.simulation.merton) simulate_vg_nig_returns() (in module abaquant.derivatives.simulation.levy) skew() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) slope (abaquant.marketdata.option_chain_analytics.OptionSkewSummary attribute) snapshot() (abaquant.marketdata.financials.facade.FinancialStatements method) solve_implied_volatility() (abaquant.marketdata.ticker.TickerOptionAnalytics method) solve_slsqp_weights() (in module abaquant.portfolio.solvers) sortino_ratio() (in module abaquant.portfolio.risk_metrics) spot() (abaquant.marketdata.ticker.MarketTicker method) spot_moneyness() (in module abaquant.derivatives.models.diagnostics) status() (abaquant.marketdata.financials.repository.FinancialStatementRepository method) straddle() (abaquant.derivatives.strategies.OptionStrategy class method) strangle() (abaquant.derivatives.strategies.OptionStrategy class method) strategy_profile() (in module abaquant.derivatives.strategies) style_matplotlib_axes() (in module abaquant.visualization.core) style_matplotlib_title() (in module abaquant.visualization.core) style_plotly_figure() (in module abaquant.visualization.core) summary() (abaquant.derivatives.calibration.core.CalibrationResult method) (abaquant.marketdata.universe_statistics.UniverseStatistics method) (abaquant.portfolio.backtesting.PortfolioBacktestResult method) (abaquant.risk.dashboard.RiskDashboard method) symbol (abaquant.marketdata.providers.sec.SecCompanyFacts attribute) synthetic_credit_proxy_band (abaquant.credit.fundamentals.CreditProxyAssessment attribute) synthetic_credit_proxy_score (abaquant.credit.fundamentals.CreditProxyAssessment attribute) synthetic_score() (abaquant.marketdata.ticker.TickerCreditMetrics method)

T

target_volatility() (abaquant.portfolio.optimization.PortfolioComputation method) term_structure() (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) terminal_slope() (abaquant.derivatives.strategies.OptionStrategyLeg method) theoretical_mc_error() (in module abaquant.derivatives.analytics.distributions) thresholds_per_bond() (in module abaquant.credit.copula) ticker (abaquant.marketdata.ticker.TickerCreditMetrics attribute) (abaquant.marketdata.ticker.TickerFundamentalData attribute) (abaquant.marketdata.ticker.TickerHistory attribute) (abaquant.marketdata.ticker.TickerOptionAnalytics attribute) ticker_mapping_path (abaquant.marketdata.providers.sec.SecJsonCacheStore property) ticker_mapping_status() (abaquant.marketdata.providers.sec.SecJsonCacheStore method) TickerConfiguration (class in abaquant.marketdata.sessions) TickerCreditMetrics (class in abaquant.marketdata.ticker) TickerFundamentalData (class in abaquant.marketdata.ticker) TickerHistory (class in abaquant.marketdata.ticker)

TickerIdentity (class in abaquant.marketdata.sessions) TickerOptionAnalytics (class in abaquant.marketdata.ticker) TickerSession (class in abaquant.marketdata.sessions) to_frame() (abaquant.portfolio.backtesting.PortfolioBacktestResult method) to_html() (abaquant.reports.exportable.ExportableReport method) to_markdown() (abaquant.reports.exportable.ExportableReport method) to_pdf() (abaquant.reports.exportable.ExportableReport method) total_assets (abaquant.credit.fundamentals.CreditAnalysisInputs property) total_assets() (abaquant.marketdata.financials.facade.FinancialStatements method) total_debt (abaquant.credit.fundamentals.CreditAnalysisInputs property) total_debt() (abaquant.marketdata.financials.facade.FinancialStatements method) total_equity (abaquant.credit.fundamentals.CreditAnalysisInputs property) total_equity() (abaquant.marketdata.financials.facade.FinancialStatements method) total_liabilities (abaquant.credit.fundamentals.CreditAnalysisInputs property) total_liabilities() (abaquant.marketdata.financials.facade.FinancialStatements method) trade_summary() (abaquant.portfolio.backtesting.PortfolioBacktestResult method)

U

underlying() (abaquant.derivatives.strategies.OptionStrategyLeg class method) universe (abaquant.marketdata.universe_history.UniverseHistory attribute) (abaquant.marketdata.universe_portfolio.UniversePortfolioAnalytics attribute) (abaquant.marketdata.universe_statistics.UniverseStatistics attribute) UniverseHistory (class in abaquant.marketdata.universe_history)

UniversePortfolioAnalytics (class in abaquant.marketdata.universe_portfolio) UniverseSession (class in abaquant.marketdata.sessions) UniverseStatistics (class in abaquant.marketdata.universe_statistics) UniverseValidationError utc_now_iso() (in module abaquant.core.provenance)

V

validate_backend() (in module abaquant.visualization.core) validate_between() (in module abaquant.derivatives.validation) validate_nonnegative() (in module abaquant.derivatives.validation) validate_option_type() (in module abaquant.derivatives.models.diagnostics) (in module abaquant.derivatives.validation) validate_positive() (in module abaquant.derivatives.validation) validate_positive_integer() (in module abaquant.derivatives.validation) validate_tickers() (in module abaquant.portfolio.data) value_cds() (in module abaquant.credit.cds) value_tranche() (in module abaquant.credit.cdo) values (abaquant.credit.types.BondData attribute) vanilla_extrinsic_value() (in module abaquant.derivatives.vanilla) vanilla_intrinsic_value() (in module abaquant.derivatives.vanilla) vanilla_intrinsic_value_from_prices() (in module abaquant.derivatives.models.diagnostics) var_cvar_from_distribution() (in module abaquant.credit.risk) var_cvar_from_simulations() (in module abaquant.credit.risk) var_cvar_parametric() (in module abaquant.credit.risk) var_historical() (in module abaquant.portfolio.risk_metrics) VarianceGammaProcessModel (class in abaquant.derivatives.models.variance_gamma) visual_report() (abaquant.risk.dashboard.RiskDashboard method) visualization_theme() (in module abaquant.visualization.core) VisualizationError VisualizationTheme (class in abaquant.visualization.core) visualize() (abaquant.credit.fundamentals.CreditProxyAssessment method) (abaquant.credit.fundamentals.CreditScenarioAnalysis method) (abaquant.derivatives.calibration.core.CalibrationResult method) (abaquant.derivatives.models.bachelier.NormalBachelierModel method) (abaquant.derivatives.models.binomial.CoxRossRubinsteinModel method) (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method) (abaquant.derivatives.models.diagnostics.DerivativeScenarioGrid method) (abaquant.derivatives.models.heston.HestonStochasticVolatilityModel method) (abaquant.derivatives.models.merton.MertonJumpDiffusionModel method) (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.sabr.SABRVolatilityModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method) (abaquant.derivatives.strategies.OptionStrategy method) (abaquant.marketdata.financials.facade.FinancialStatements method) (abaquant.marketdata.financials.models.FinancialStatementSnapshot method) (abaquant.marketdata.option_chain_analytics.OptionChainAnalytics method) (abaquant.marketdata.ticker.MarketTicker method) (abaquant.marketdata.universe.MarketUniverse method) (abaquant.portfolio.backtesting.PortfolioBacktestResult method) (abaquant.portfolio.optimization.PortfolioAllocator method) (abaquant.portfolio.optimization.PortfolioScenarioAnalysis method) (abaquant.rates.RateCurve method) (abaquant.risk.dashboard.RiskDashboard method)

visualize_calibration_result() (in module abaquant.visualization.options) visualize_credit_assessment() (in module abaquant.visualization.credit) visualize_credit_scenario() (in module abaquant.visualization.credit) visualize_derivative_scenario_grid() (in module abaquant.visualization.options) visualize_financial_snapshot() (in module abaquant.visualization.market) visualize_option_chain_analytics() (in module abaquant.visualization.options) visualize_option_model() (in module abaquant.visualization.options) visualize_option_strategy() (in module abaquant.visualization.options) visualize_portfolio_allocator() (in module abaquant.visualization.portfolio) visualize_portfolio_backtest() (in module abaquant.visualization.portfolio) visualize_portfolio_scenario() (in module abaquant.visualization.portfolio) visualize_price_history() (in module abaquant.visualization.market) visualize_risk_dashboard() (in module abaquant.visualization.dashboard) vol_smile() (abaquant.derivatives.models.bachelier.NormalBachelierModel method) (abaquant.derivatives.models.heston.HestonStochasticVolatilityModel method) (abaquant.derivatives.models.merton.MertonJumpDiffusionModel method) (abaquant.derivatives.models.nig.NormalInverseGaussianModel method) (abaquant.derivatives.models.sabr.SABRVolatilityModel method) (abaquant.derivatives.models.variance_gamma.VarianceGammaProcessModel method) vol_smile_surface() (abaquant.derivatives.models.black_scholes.BlackScholesMertonModel method)

W

weighted_average_cost_of_capital() (in module abaquant.financial_math.corporate) (in module abaquant.rates) weights_to_series() (abaquant.portfolio.optimization.PortfolioAllocator method) (abaquant.portfolio.optimization.PortfolioComputation method)

with_step() (abaquant.core.provenance.DataProvenance method) (abaquant.rates.DataProvenance method)

Y

YahooFinanceProvider (class in abaquant.marketdata.providers.yahoo)

Z

zero_rate() (abaquant.rates.RateCurve method)