org.drip.execution.capture

Class TrajectoryShortfallRealization

java.lang.Object

org.drip.execution.capture.TrajectoryShortfallRealization

public class TrajectoryShortfallRealization
extends java.lang.Object

TrajectoryShortfallRealization holds Execution Cost Realization across each Interval in the Trade during a Single Simulation Run. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TrajectoryShortfallRealization(java.util.List<ShortfallIncrement> lsSI) TrajectoryShortfallRealization Constructor

Method Summary

Modifier and Type	Method and Description
double[]	cumulativeMarketDynamicDrift() Generate the Array of Cumulative Market Dynamic Cost Drift
double[]	cumulativeMarketDynamicWander() Generate the Array of Cumulative Market Dynamic Cost Wander
double[]	cumulativePermanentDrift() Generate the Array of Cumulative Permanent Cost Drift
double[]	cumulativePermanentWander() Generate the Array of Cumulative Permanent Cost Wander
double[]	cumulativeTemporaryDrift() Generate the Array of Cumulative Temporary Cost Drift
double[]	cumulativeTemporaryWander() Generate the Array of Cumulative Temporary Cost Wander
double[]	incrementalMarketDynamicDrift() Generate the Array of Incremental Market Dynamic Cost Drift
double[]	incrementalMarketDynamicWander() Generate the Array of Incremental Market Dynamic Cost Wander
double[]	incrementalPermanentDrift() Generate the Array of Incremental Permanent Cost Drift
double[]	incrementalPermanentWander() Generate the Array of Incremental Permanent Cost Wander
double[]	incrementalTemporaryDrift() Generate the Array of Incremental Temporary Cost Drift
double[]	incrementalTemporaryWander() Generate the Array of Incremental Temporary Cost Wander
java.util.List<ShortfallIncrement>	list() Retrieve the List of the Realized Composite Cost Increments
double	totalMarketDynamicDrift() Generate the Total Market Dynamic Cost Drift
double	totalMarketDynamicWander() Generate the Total Market Dynamic Cost Wander
double	totalPermanentDrift() Generate the Total Permanent Cost Drift
double	totalPermanentWander() Generate the Total Permanent Cost Wander
double	totalTemporaryDrift() Generate the Total Temporary Cost Drift
double	totalTemporaryWander() Generate the Total Temporary Cost Wander

Methods inherited from class java.lang.Object

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

Constructor Detail

TrajectoryShortfallRealization

public TrajectoryShortfallRealization(java.util.List<ShortfallIncrement> lsSI)
                               throws java.lang.Exception

TrajectoryShortfallRealization Constructor

Parameters:

lsSI - List of the Composite Slice Short-fall Increments

Throws:

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

Method Detail

list

public java.util.List<ShortfallIncrement> list()

Retrieve the List of the Realized Composite Cost Increments

Returns:

The List of the Realized Composite Cost Increments

incrementalMarketDynamicDrift

public double[] incrementalMarketDynamicDrift()

Generate the Array of Incremental Market Dynamic Cost Drift

Returns:

The Array of Incremental Market Dynamic Cost Drift

cumulativeMarketDynamicDrift

public double[] cumulativeMarketDynamicDrift()

Generate the Array of Cumulative Market Dynamic Cost Drift

Returns:

The Array of Cumulative Market Dynamic Cost Drift

totalMarketDynamicDrift

public double totalMarketDynamicDrift()

Generate the Total Market Dynamic Cost Drift

Returns:

The Total Market Dynamic Cost Drift

incrementalMarketDynamicWander

public double[] incrementalMarketDynamicWander()

Generate the Array of Incremental Market Dynamic Cost Wander

Returns:

The Array of Incremental Market Dynamic Cost Wander

cumulativeMarketDynamicWander

public double[] cumulativeMarketDynamicWander()

Generate the Array of Cumulative Market Dynamic Cost Wander

Returns:

The Array of Cumulative Market Dynamic Cost Wander

totalMarketDynamicWander

public double totalMarketDynamicWander()

Generate the Total Market Dynamic Cost Wander

Returns:

The Total Market Dynamic Cost Wander

incrementalPermanentDrift

public double[] incrementalPermanentDrift()

Generate the Array of Incremental Permanent Cost Drift

Returns:

The Array of Incremental Permanent Cost Drift

cumulativePermanentDrift

public double[] cumulativePermanentDrift()

Generate the Array of Cumulative Permanent Cost Drift

Returns:

The Array of Cumulative Permanent Cost Drift

totalPermanentDrift

public double totalPermanentDrift()

Generate the Total Permanent Cost Drift

Returns:

The Total Permanent Cost Drift

incrementalPermanentWander

public double[] incrementalPermanentWander()

Generate the Array of Incremental Permanent Cost Wander

Returns:

The Array of Incremental Permanent Cost Wander

cumulativePermanentWander

public double[] cumulativePermanentWander()

Generate the Array of Cumulative Permanent Cost Wander

Returns:

The Array of Cumulative Permanent Cost Wander

totalPermanentWander

public double totalPermanentWander()

Generate the Total Permanent Cost Wander

Returns:

The Total Permanent Cost Wander

incrementalTemporaryDrift

public double[] incrementalTemporaryDrift()

Generate the Array of Incremental Temporary Cost Drift

Returns:

The Array of Incremental Temporary Cost Drift

cumulativeTemporaryDrift

public double[] cumulativeTemporaryDrift()

Generate the Array of Cumulative Temporary Cost Drift

Returns:

The Array of Cumulative Temporary Cost Drift

totalTemporaryDrift

public double totalTemporaryDrift()

Generate the Total Temporary Cost Drift

Returns:

The Total Temporary Cost Drift

incrementalTemporaryWander

public double[] incrementalTemporaryWander()

Generate the Array of Incremental Temporary Cost Wander

Returns:

The Array of Incremental Temporary Cost Wander

cumulativeTemporaryWander

public double[] cumulativeTemporaryWander()

Generate the Array of Cumulative Temporary Cost Wander

Returns:

The Array of Cumulative Temporary Cost Wander

totalTemporaryWander

public double totalTemporaryWander()

Generate the Total Temporary Cost Wander

Returns:

The Total Temporary Cost Wander