org.drip.execution.adaptive

Class CoordinatedVariationTrajectoryState

java.lang.Object

org.drip.execution.adaptive.CoordinatedVariationTrajectoryState

public class CoordinatedVariationTrajectoryState
extends java.lang.Object

CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step of the Evolution 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
CoordinatedVariationTrajectoryState(double dblTime, double dblHoldings, double dblTradeRate, double dblCost, double dblMarketState) CoordinatedVariationTrajectoryState Constructor

Method Summary

Modifier and Type	Method and Description
double	cost() Retrieve the Trajectory State Time Node Cost
double	holdings() Retrieve the Trajectory State Time Node Holdings
double	marketState() Retrieve the Trajectory Time Node Market State
double	time() Retrieve the Trajectory State Time Node
double	tradeRate() Retrieve the Trajectory State Time Node Trade Rate

Methods inherited from class java.lang.Object

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

Constructor Detail

CoordinatedVariationTrajectoryState

public CoordinatedVariationTrajectoryState(double dblTime,
                                           double dblHoldings,
                                           double dblTradeRate,
                                           double dblCost,
                                           double dblMarketState)
                                    throws java.lang.Exception

CoordinatedVariationTrajectoryState Constructor

Parameters:

dblTime - The Time Instant

dblHoldings - The Holdings

dblTradeRate - The Trade Rate

dblCost - The Accumulated Cost

dblMarketState - The Current Market State

Throws:

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

Method Detail

time

public double time()

Retrieve the Trajectory State Time Node

Returns:

The Trajectory State Time Node

holdings

public double holdings()

Retrieve the Trajectory State Time Node Holdings

Returns:

The Trajectory State Time Node Holdings

cost

public double cost()

Retrieve the Trajectory State Time Node Cost

Returns:

The Trajectory State Time Node Cost

tradeRate

public double tradeRate()

Retrieve the Trajectory State Time Node Trade Rate

Returns:

The Trajectory State Time Node Trade Rate

marketState

public double marketState()

Retrieve the Trajectory Time Node Market State

Returns:

The Trajectory Time Node Market State