| Index Entry | | Section |
|---|
|
| A | | |
|---|
| Aggregation: | | Aggregation |
|
| B | | |
|---|
| Brownian motion: | | Scenario generation |
|
| C | | |
|---|
| Class diagram: | | Implementation concept |
| Classes, Octave octarisk Classes, Index: | | Octave octarisk Classes |
| Cox-Ingersoll-Ross and Heston model: | | Scenario generation |
|
| D | | |
|---|
| Developer guide, Developer guide: | | Developer guide |
|
| E | | |
|---|
| ES, Expected shortfall: | | Market risk measures |
|
| F | | |
|---|
| Features: | | Introduction |
| Financial models, Theory of: | | Scenario generation |
| Full valuation approach: | | Instrument valuation |
| Function adapt_matlab: | | adapt_matlab |
| Function addtodatefinancial: | | addtodatefinancial |
| Function aggregate_positions: | | aggregate_positions |
| Function any2str: | | any2str |
| Function betainc_lentz_vec: | | betainc_lentz_vec |
| Function betainc_vec: | | betainc_vec |
| Function betainv_vec: | | betainv_vec |
| Function Bond.help: | | Bond.help |
| Function calcConvexityAdjustment: | | calcConvexityAdjustment |
| Function calculate_npv_cpp: | | calculate_npv_cpp |
| Function calc_HHI: | | calc_HHI |
| Function calc_sobol_cpp: | | calc_sobol_cpp |
| Function calc_vola_basket_cpp: | | calc_vola_basket_cpp |
| Function calibrate_evt_gpd: | | calibrate_evt_gpd |
| Function calibrate_generic: | | calibrate_generic |
| Function CapFloor.help: | | CapFloor.help |
| Function Cash.help: | | Cash.help |
| Function compile_oct_files: | | compile_oct_files |
| Function convert_curve_rates: | | convert_curve_rates |
| Function correct_correlation_matrix: | | correct_correlation_matrix |
| Function Curve.help: | | Curve.help |
| Function Debt.help: | | Debt.help |
| Function discount_factor: | | discount_factor |
| Function doc_instrument: | | doc_instrument |
| Function doc_riskfactor: | | doc_riskfactor |
| Function epanechnikov_weight: | | epanechnikov_weight |
| Function estimate_parameter: | | estimate_parameter |
| Function fmincon: | | fmincon |
| Function Forward.help: | | Forward.help |
| Function gammainc: | | gammainc |
| Function gammaincinv: | | gammaincinv |
| Function gammainc_lentz_vec: | | gammainc_lentz_vec |
| Function generate_willowtree: | | generate_willowtree |
| Function getCapFloorRate: | | getCapFloorRate |
| Function getFlooredSpotByFlooringForwardCurve: | | getFlooredSpotByFlooringForwardCurve |
| Function get_basis: | | get_basis |
| Function get_basket_volatility: | | get_basket_volatility |
| Function get_bond_tf_rates: | | get_bond_tf_rates |
| Function get_cms_rate_hagan: | | get_cms_rate_hagan |
| Function get_cms_rate_hull: | | get_cms_rate_hull |
| Function get_credit_rating: | | get_credit_rating |
| Function get_dependencies: | | get_dependencies |
| Function get_documentation: | | get_documentation |
| Function get_documentation_classes: | | get_documentation_classes |
| Function get_esg_rating: | | get_esg_rating |
| Function get_forward_rate: | | get_forward_rate |
| Function get_FX_rate: | | get_FX_rate |
| Function get_gpd_var: | | get_gpd_var |
| Function get_informclass: | | get_informclass |
| Function get_informscore: | | get_informscore |
| Function get_marginal_distr_pearson: | | get_marginal_distr_pearson |
| Function get_quantile_estimator: | | get_quantile_estimator |
| Function get_readinessclass: | | get_readinessclass |
| Function get_readinessscore: | | get_readinessscore |
| Function get_srri: | | get_srri |
| Function get_srri_level: | | get_srri_level |
| Function get_srri_simple: | | get_srri_simple |
| Function get_sub_object: | | get_sub_object |
| Function get_sub_struct: | | get_sub_struct |
| Function gini: | | gini |
| Function harrell_davis_weight: | | harrell_davis_weight |
| Function ind2sub_tril: | | ind2sub_tril |
| Function Index.help: | | Index.help |
| Function Instrument.help: | | Instrument.help |
| Function instrument_valuation: | | instrument_valuation |
| Function integrationtests: | | integrationtests |
| Function interpolate_cubestruct: | | interpolate_cubestruct |
| Function interpolate_curve: | | interpolate_curve |
| Function interpolate_curvestruct: | | interpolate_curvestruct |
| Function interpolate_curve_vectorized: | | interpolate_curve_vectorized |
| Function interpolate_curve_vectorized_mc: | | interpolate_curve_vectorized_mc |
| Function interpolate_surfacestruct: | | interpolate_surfacestruct |
| Function load_correlation_matrix: | | load_correlation_matrix |
| Function load_instruments: | | load_instruments |
| Function load_matrix_objects: | | load_matrix_objects |
| Function load_mktdata_objects: | | load_mktdata_objects |
| Function load_parameter: | | load_parameter |
| Function load_positions: | | load_positions |
| Function load_riskfactors: | | load_riskfactors |
| Function load_riskfactor_mapping: | | load_riskfactor_mapping |
| Function load_riskfactor_scenarios: | | load_riskfactor_scenarios |
| Function load_riskfactor_stresses: | | load_riskfactor_stresses |
| Function load_stresstests: | | load_stresstests |
| Function load_volacubes: | | load_volacubes |
| Function load_yieldcurves: | | load_yieldcurves |
| Function Matrix.help: | | Matrix.help |
| Function octarisk: | | octarisk |
| Function octarisk_gui: | | octarisk_gui |
| Function optimize_basket_forwardprice: | | optimize_basket_forwardprice |
| Function Option.help: | | Option.help |
| Function option_asian_levy: | | option_asian_levy |
| Function option_asian_vorst90: | | option_asian_vorst90 |
| Function option_barrier: | | option_barrier |
| Function option_binary: | | option_binary |
| Function option_bjsten: | | option_bjsten |
| Function option_bond_hw: | | option_bond_hw |
| Function option_bs: | | option_bs |
| Function option_lookback: | | option_lookback |
| Function option_willowtree: | | option_willowtree |
| Function perform_rf_stat_tests: | | perform_rf_stat_tests |
| Function plot_AA_piecharts: | | plot_AA_piecharts |
| Function plot_HHI_piecharts: | | plot_HHI_piecharts |
| Function plot_hist_var: | | plot_hist_var |
| Function plot_hist_var_simple: | | plot_hist_var_simple |
| Function plot_sensitivities: | | plot_sensitivities |
| Function plot_solvencyratio: | | plot_solvencyratio |
| Function Position.help: | | Position.help |
| Function pricing_callable_bond_cpp: | | pricing_callable_bond_cpp |
| Function pricing_forward: | | pricing_forward |
| Function pricing_npv: | | pricing_npv |
| Function pricing_option_cpp: | | pricing_option_cpp |
| Function print_class2dot: | | print_class2dot |
| Function profiler_analysis: | | profiler_analysis |
| Function replacement_script: | | replacement_script |
| Function Retail.help: | | Retail.help |
| Function return_checked_input: | | return_checked_input |
| Function Riskfactor.help: | | Riskfactor.help |
| Function rollout_retail_cashflows: | | rollout_retail_cashflows |
| Function rollout_structured_cashflows: | | rollout_structured_cashflows |
| Function save_objects: | | save_objects |
| Function scenario_generation_MC: | | scenario_generation_MC |
| Function Sensitivity.help: | | Sensitivity.help |
| Function solvency2_reporting: | | solvency2_reporting |
| Function Stochastic.help: | | Stochastic.help |
| Function struct2obj: | | struct2obj |
| Function Surface.help: | | Surface.help |
| Function Swaption.help: | | Swaption.help |
| Function swaption_bachelier: | | swaption_bachelier |
| Function swaption_black76: | | swaption_black76 |
| Function swaption_underlyings: | | swaption_underlyings |
| Function Synthetic.help: | | Synthetic.help |
| Function testriskfree: | | testriskfree |
| Function test_io: | | test_io |
| Function test_oct_files: | | test_oct_files |
| Function test_pos_aggregation: | | test_pos_aggregation |
| Function timefactor: | | timefactor |
| Function unittests: | | unittests |
| Function unvech: | | unvech |
| Function update_mktdata_objects: | | update_mktdata_objects |
| Functions, Octave Functions and Scripts, Index: | | Octave Functions and Scripts |
|
| G | | |
|---|
| Geometric Brownian motion: | | Scenario generation |
| Graphical user interface: | | Graphical user interface |
|
| I | | |
|---|
| Implementation workflow: | | Implementation workflow |
| Input files: | | Input files |
| Input, Correlation file: | | Input files |
| Input, Instruments file: | | Input files |
| Input, Marketdata objects file: | | Input files |
| Input, Positions file: | | Input files |
| Input, Risk factors file: | | Input files |
| Input, Stress test file: | | Input files |
| Input, volatility surface file: | | Input files |
| Instrument valuation: | | Instrument valuation |
|
| M | | |
|---|
| Market risk measures: | | Market risk measures |
| Market Risk, Introduction: | | Introducing market risk |
| Market Risk, Quantifying: | | User guide |
|
| O | | |
|---|
| Ornstein-Uhlenbeck process: | | Scenario generation |
| Output files: | | Output files |
|
| P | | |
|---|
| Parameter estimation: | | Scenario generation |
| Parameter Monte-Carlo Simulation: | | Scenario generation |
| Parameter Stress testing: | | Scenario generation |
| Prerequisites: | | Introduction |
| Pricing, Bond instruments: | | Instrument valuation |
| Pricing, Cap and Floor instruments: | | Instrument valuation |
| Pricing, Cash flow instruments: | | Instrument valuation |
| Pricing, Forwards and Futures: | | Instrument valuation |
| Pricing, Options: | | Instrument valuation |
| Pricing, Swaptions: | | Instrument valuation |
|
| R | | |
|---|
| Random number generation: | | Scenario generation |
| Reporting: | | Reporting |
| Retail instruments: | | Instrument valuation |
| Risk management, Introduction: | | Risk management in practice |
|
| S | | |
|---|
| Scenario generation: | | Scenario generation |
| Sensitivity approach: | | Instrument valuation |
| Square-root diffusion process: | | Scenario generation |
| Stochastic instruments: | | Instrument valuation |
| Stochastic models, Theory of: | | Scenario generation |
| Synthetic instruments: | | Instrument valuation |
|
| V | | |
|---|
| VAR, Value-at-Risk: | | Market risk measures |
| Vasicek model: | | Scenario generation |
|
| W | | |
|---|
| Wiener process, Random walk: | | Scenario generation |
|