Uses of Class
org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

Packages that use ArithmeticPriceEvolutionParameters

Package	Description
org.drip.execution.capture
org.drip.execution.discrete
org.drip.execution.dynamics
org.drip.execution.nonadaptive
org.drip.execution.optimum
org.drip.execution.sensitivity

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.capture

Methods in org.drip.execution.capture with parameters of type ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
ControlNodesGreek	TrajectoryShortfallEstimator.expectationContribution(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	TrajectoryShortfallEstimator.marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	TrajectoryShortfallEstimator.marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	TrajectoryShortfallEstimator.permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	TrajectoryShortfallEstimator.permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)
OptimalSerialCorrelationAdjustment[]	TrajectoryShortfallEstimator.serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep) Estimate the Optimal Adjustment Attributable to the Serial Correlation
ControlNodesGreek	TrajectoryShortfallEstimator.temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	TrajectoryShortfallEstimator.temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)
TrajectoryShortfallAggregate	TrajectoryShortfallEstimator.totalCostDistributionDetail(ArithmeticPriceEvolutionParameters apep) Generate the Detailed Total Cost Distribution for the Trading Trajectory
R1UnivariateNormal	TrajectoryShortfallEstimator.totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep) Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory
R1UnivariateNormal	LinearImpactUniformTrajectoryEstimator.totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)
R1UnivariateNormal	LinearImpactTrajectoryEstimator.totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)
R1UnivariateNormal	LinearImpactBlockTrajectoryEstimator.totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)
TrajectoryShortfallRealization	TrajectoryShortfallEstimator.totalCostRealizationDetail(double dblStartingEquilibriumPrice, WalkSuite[] aWS, ArithmeticPriceEvolutionParameters apep) Generate the Detailed Cost Realization Sequence given the Specified Inputs
ControlNodesGreek	TrajectoryShortfallEstimator.varianceContribution(ArithmeticPriceEvolutionParameters apep)

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.discrete

Methods in org.drip.execution.discrete with parameters of type ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
ShortfallIncrementDistribution	Slice.costIncrementDistribution(ArithmeticPriceEvolutionParameters apep) Generate the R^1 Normal Cost Increment Distribution
ShortfallIncrement	Slice.costIncrementRealization(double dblPreviousEquilibriumPrice, WalkSuite ws, ArithmeticPriceEvolutionParameters apep) Generate the Cost Evolution Increment Unit Realization given the Walk Realization
ControlNodesGreek	Slice.expectationContribution(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)
PriceIncrement	Slice.priceIncrementRealization(double dblPreviousEquilibriumPrice, WalkSuite ws, ArithmeticPriceEvolutionParameters apep) Generate the Price Evolution Increment Unit Realization given the Walk Realization
OptimalSerialCorrelationAdjustment	Slice.serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep) Estimate the Optimal Adjustment Attributable to the Serial Correlation
ControlNodesGreek	Slice.temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)
ControlNodesGreek	Slice.varianceContribution(ArithmeticPriceEvolutionParameters apep)

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.dynamics

Subclasses of ArithmeticPriceEvolutionParameters in org.drip.execution.dynamics

Modifier and Type	Class and Description
class	LinearPermanentExpectationParameters LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate.

Methods in org.drip.execution.dynamics that return ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
static ArithmeticPriceEvolutionParameters	ArithmeticPriceEvolutionParametersBuilder.CoordinatedVariation(R1ToR1 r1ToR1Volatility, CoordinatedVariation cv) Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
static ArithmeticPriceEvolutionParameters	ArithmeticPriceEvolutionParametersBuilder.DeterministicCoordinatedVariation(double dblPriceVolatility, CoordinatedVariation cv) Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance
static ArithmeticPriceEvolutionParameters	ArithmeticPriceEvolutionParametersBuilder.TradingEnhancedVolatility(double dblPriceVolatility, BackgroundParticipationRateLinear bprlTemporaryExpectation, BackgroundParticipationRateLinear bprlTemporaryVolatility) Trading Enhanced Volatility ArithmeticPriceEvolutionParameters Instance

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.nonadaptive

Methods in org.drip.execution.nonadaptive that return ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
ArithmeticPriceEvolutionParameters	StaticOptimalScheme.priceEvolutionParameters() Retrieve the Asset Arithmetic Price Evolution Parameters

Methods in org.drip.execution.nonadaptive with parameters of type ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
static ContinuousCoordinatedVariationStochastic	ContinuousCoordinatedVariationStochastic.Standard(double dblStartHoldings, double dblFinishTime, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion) Create the Standard ContinuousCoordinatedVariationStochastic Instance
static ContinuousCoordinatedVariationDeterministic	ContinuousCoordinatedVariationDeterministic.Standard(double dblStartHoldings, double dblFinishTime, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion) Create the Standard ContinuousCoordinatedVariationDeterministic Instance
static ContinuousConstantTradingEnhanced	ContinuousConstantTradingEnhanced.Standard(double dblStartHoldings, double dblFinishTime, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion) Create the Standard ContinuousConstantTradingEnhanced Instance
static DiscreteLinearTradingEnhanced	DiscreteLinearTradingEnhanced.Standard(double dblStartHoldings, double dblFinishTime, int iNumInterval, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion) Create the Standard DiscreteLinearTradingEnhanced Instance

Constructors in org.drip.execution.nonadaptive with parameters of type ArithmeticPriceEvolutionParameters

Constructor and Description
StaticOptimalSchemeContinuous(OrderSpecification os, ArithmeticPriceEvolutionParameters apep, ObjectiveUtility ou) StaticOptimalSchemeContinuous Constructor
StaticOptimalSchemeDiscrete(DiscreteTradingTrajectoryControl dttc, ArithmeticPriceEvolutionParameters apep, ObjectiveUtility ou) StaticOptimalSchemeDiscrete Constructor

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.optimum

Methods in org.drip.execution.optimum with parameters of type ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
static TradingEnhancedDiscrete	TradingEnhancedDiscrete.Standard(DiscreteTradingTrajectory dtt, ArithmeticPriceEvolutionParameters apep, double dblCharacteristicTime, double dblCharacteristicSize) Construct a Standard TradingEnhancedDiscrete Instance
static EfficientTradingTrajectoryDiscrete	EfficientTradingTrajectoryDiscrete.Standard(double[] adblExecutionTimeNode, double[] adblHoldings, ArithmeticPriceEvolutionParameters apep) Construct a Standard EfficientTradingTrajectoryDiscrete Instance

Uses of ArithmeticPriceEvolutionParameters in org.drip.execution.sensitivity

Methods in org.drip.execution.sensitivity with parameters of type ArithmeticPriceEvolutionParameters

Modifier and Type	Method and Description
ControlNodesGreek	ControlNodesGreekGenerator.expectationContribution(ArithmeticPriceEvolutionParameters apep) Generate the Total Expectation Contribution
ControlNodesGreek	ControlNodesGreekGenerator.marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Market Dynamics Expectation Contribution
ControlNodesGreek	ControlNodesGreekGenerator.marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep) Generate the Market Dynamics Variance Contribution
ControlNodesGreek	ControlNodesGreekGenerator.permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Permanent Impact Expectation Contribution
ControlNodesGreek	ControlNodesGreekGenerator.permanentImpactVariance(ArithmeticPriceEvolutionParameters apep) Generate the Permanent Impact Variance Contribution
ControlNodesGreek	ControlNodesGreekGenerator.temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Temporary Impact Expectation Contribution
ControlNodesGreek	ControlNodesGreekGenerator.temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep) Generate the Temporary Impact Variance Contribution
ControlNodesGreek	ControlNodesGreekGenerator.varianceContribution(ArithmeticPriceEvolutionParameters apep) Generate the Total Variance Contribution