org.drip.execution.dynamics

Class LinearPermanentExpectationParameters

java.lang.Object

org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

org.drip.execution.dynamics.LinearPermanentExpectationParameters

public class LinearPermanentExpectationParameters
extends ArithmeticPriceEvolutionParameters

LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings apds, BackgroundParticipationRateLinear bprlPermanentExpectation, BackgroundParticipationRate bprTemporaryExpectation) LinearPermanentExpectationParameters Constructor

Method Summary

Modifier and Type	Method and Description
BackgroundParticipationRateLinear	linearPermanentExpectation() Retrieve the Background Participation Linear Permanent Market Impact Expectation Function

Methods inherited from class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

arithmeticPriceDynamicsSettings, permanentExpectation, permanentVolatility, temporaryExpectation, temporaryVolatility

Methods inherited from class java.lang.Object

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

Constructor Detail

LinearPermanentExpectationParameters

public LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings apds,
                                            BackgroundParticipationRateLinear bprlPermanentExpectation,
                                            BackgroundParticipationRate bprTemporaryExpectation)
                                     throws java.lang.Exception

LinearPermanentExpectationParameters Constructor

Parameters:

apds - The Asset Price Dynamics Settings

bprlPermanentExpectation - The Background Participation Rate Linear Permanent Expectation Market Impact Function

bprTemporaryExpectation - The Background Participation Rate Temporary Expectation Market Impact Function

Throws:

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

Method Detail

linearPermanentExpectation

public BackgroundParticipationRateLinear linearPermanentExpectation()

Retrieve the Background Participation Linear Permanent Market Impact Expectation Function

Returns:

The Background Participation Linear Permanent Market Impact Expectation Function