org.drip.execution.hjb

Class NonDimensionalCost

java.lang.Object

org.drip.execution.hjb.NonDimensionalCost

Direct Known Subclasses:

NonDimensionalCostCorrelated, NonDimensionalCostSystemic

public class NonDimensionalCost
extends java.lang.Object

NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State. 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
NonDimensionalCost(double dblRealization, double dblNonDimensionalTradeRate) NonDimensionalCost Constructor

Method Summary

Modifier and Type	Method and Description
double	nonDimensionalTradeRate() Retrieve the Non-dimensional Trade Rate
double	realization() Retrieve the Realized Non-dimensional Value

Methods inherited from class java.lang.Object

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

Constructor Detail

NonDimensionalCost

public NonDimensionalCost(double dblRealization,
                          double dblNonDimensionalTradeRate)
                   throws java.lang.Exception

NonDimensionalCost Constructor

Parameters:

dblRealization - The Non dimensional Value Function Realization

dblNonDimensionalTradeRate - The Non-dimensional Trade Rate

Throws:

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

Method Detail

realization

public double realization()

Retrieve the Realized Non-dimensional Value

Returns:

The Realized Non-dimensional Value

nonDimensionalTradeRate

public double nonDimensionalTradeRate()

Retrieve the Non-dimensional Trade Rate

Returns:

The Non-dimensional Trade Rate