org.drip.execution.adaptive

Class CoordinatedVariationTrajectory

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectory

Direct Known Subclasses:

CoordinatedVariationDynamic, CoordinatedVariationRollingHorizon, CoordinatedVariationStatic

public class CoordinatedVariationTrajectory
extends java.lang.Object

CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based MultiStep Optimal Cost Dynamic Trajectory Generation using the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model. The References are: - Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf. - Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility, SIAM Journal of Financial Mathematics 3 (1) 163-181. - Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes, Mathematical Finance 11 (1) 79-96. - Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility, Review of Financial Studies 7 (4) 631-651.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CoordinatedVariationTrajectory(CoordinatedVariationTrajectoryDeterminant cvtd) CoordinatedVariationTrajectory Constructor

Method Summary

Modifier and Type	Method and Description
CoordinatedVariationTrajectoryDeterminant	trajectoryDeterminant() Retrieve The Coordinated Variation Trajectory Determinant Instance

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CoordinatedVariationTrajectory

public CoordinatedVariationTrajectory(CoordinatedVariationTrajectoryDeterminant cvtd)
                               throws java.lang.Exception

CoordinatedVariationTrajectory Constructor

Parameters:

cvtd - The Coordinated Variation Trajectory Determinant

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

trajectoryDeterminant

public CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant()

Retrieve The Coordinated Variation Trajectory Determinant Instance

Returns:

The Coordinated Variation Trajectory Determinant Instance