org.drip.execution.athl

Class TransactionRealization

java.lang.Object

org.drip.execution.athl.TransactionRealization

public class TransactionRealization
extends java.lang.Object

TransactionRealization holds the Suite of Empirical Drift/Wander Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). The References are: - Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12). - Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk, Applied Mathematical Finance 10 (1) 1-18. - Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102. - Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TransactionRealization(TransactionFunction tfPermanent, TransactionFunction tfTemporary, double dblVolatility, double dblX, double dblT, double dblTPost) TransactionRealization Constructor

Method Summary

Modifier and Type	Method and Description
IJK	emitSignal(double dblIRandom, double dblJRandom) Emit the IJK Signal
TransactionFunction	permanentMarketImpactFunction() Retrieve the Permanent Market Impact Transaction Function
double	t() Retrieve the Transaction Completion Time T in Days
TransactionFunction	temporaryMarketImpactFunction() Retrieve the Temporary Market Impact Transaction Function
double	tPost() Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
double	volatility() Retrieve the Asset Daily Volatility
double	x() Retrieve the Transaction Amount X

Methods inherited from class java.lang.Object

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

Constructor Detail

TransactionRealization

public TransactionRealization(TransactionFunction tfPermanent,
                              TransactionFunction tfTemporary,
                              double dblVolatility,
                              double dblX,
                              double dblT,
                              double dblTPost)
                       throws java.lang.Exception

TransactionRealization Constructor

Parameters:

tfPermanent - The Permanent Market Impact Transaction Function

tfTemporary - The Temporary Market Impact Transaction Function

dblVolatility - The Asset Daily Volatility

dblX - The Transaction Amount

dblT - The Transaction Completion Time in Days

dblTPost - The Transaction Completion Time in Days Adjusted for the Permanent Lag

Throws:

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

Method Detail

permanentMarketImpactFunction

public TransactionFunction permanentMarketImpactFunction()

Retrieve the Permanent Market Impact Transaction Function

Returns:

The Permanent Market Impact Transaction Function

temporaryMarketImpactFunction

public TransactionFunction temporaryMarketImpactFunction()

Retrieve the Temporary Market Impact Transaction Function

Returns:

The Temporary Market Impact Transaction Function

volatility

public double volatility()

Retrieve the Asset Daily Volatility

Returns:

The Asset Daily Volatility

x

public double x()

Retrieve the Transaction Amount X

Returns:

The Transaction Amount X

t

public double t()

Retrieve the Transaction Completion Time T in Days

Returns:

The Transaction Completion Time T in Days

tPost

public double tPost()

Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost

Returns:

The Transaction Completion Time in Days Adjusted for the Permanent Lag TPost

emitSignal

public IJK emitSignal(double dblIRandom,
                      double dblJRandom)

Emit the IJK Signal

Parameters:

dblIRandom - The Random "I" Instance

dblJRandom - The Random "J" Instance

Returns:

The IJK Signal Instance