org.drip.execution.hjb

Class NonDimensionalCostCorrelated

java.lang.Object

org.drip.execution.hjb.NonDimensionalCost

org.drip.execution.hjb.NonDimensionalCostCorrelated

public class NonDimensionalCostCorrelated
extends NonDimensionalCost

NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non-dimensional Cost Value Function to the Individual Correlated Market States. 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
NonDimensionalCostCorrelated(double dblRealization, double dblLiquidityGradient, double dblLiquidityJacobian, double dblVolatilityGradient, double dblVolatilityJacobian, double dblLiquidityVolatilityGradient, double dblNonDimensionalTradeRate) NonDimensionalCostCorrelated Constructor

Method Summary

Modifier and Type	Method and Description
double	liquidityGradient() Retrieve the Non Dimensional Value Liquidity Gradient
double	liquidityJacobian() Retrieve the Non Dimensional Value Liquidity Jacobian
double	liquidityVolatilityGradient() Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
double	volatilityGradient() Retrieve the Non Dimensional Value Volatility Gradient
double	volatilityJacobian() Retrieve the Non Dimensional Value Volatility Jacobian
static NonDimensionalCostCorrelated	Zero() Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance

Methods inherited from class org.drip.execution.hjb.NonDimensionalCost

nonDimensionalTradeRate, realization

Methods inherited from class java.lang.Object

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

Constructor Detail

NonDimensionalCostCorrelated

public NonDimensionalCostCorrelated(double dblRealization,
                                    double dblLiquidityGradient,
                                    double dblLiquidityJacobian,
                                    double dblVolatilityGradient,
                                    double dblVolatilityJacobian,
                                    double dblLiquidityVolatilityGradient,
                                    double dblNonDimensionalTradeRate)
                             throws java.lang.Exception

NonDimensionalCostCorrelated Constructor

Parameters:

dblRealization - The Realized Non Dimensional Value

dblNonDimensionalTradeRate - The Non Dimensional Trade Rate

dblLiquidityGradient - The Realized Non Dimensional Value Liquidity Gradient

dblLiquidityJacobian - The Realized Non Dimensional Value Liquidity Jacobian

dblVolatilityGradient - The Realized Non Dimensional Value Volatility Gradient

dblVolatilityJacobian - The Realized Non Dimensional Value Volatility Jacobian

dblLiquidityVolatilityGradient - The Realized Non Dimensional Value Liquidity/Volatility Gradient

Throws:

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

Method Detail

Zero

public static final NonDimensionalCostCorrelated Zero()

Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance

Returns:

The Zero Sensitivity Correlated Non-dimensional Cost Instance

liquidityGradient

public double liquidityGradient()

Retrieve the Non Dimensional Value Liquidity Gradient

Returns:

The Non Dimensional Value Liquidity Gradient

liquidityJacobian

public double liquidityJacobian()

Retrieve the Non Dimensional Value Liquidity Jacobian

Returns:

The Non Dimensional Value Liquidity Jacobian

volatilityGradient

public double volatilityGradient()

Retrieve the Non Dimensional Value Volatility Gradient

Returns:

The Non Dimensional Value Volatility Gradient

volatilityJacobian

public double volatilityJacobian()

Retrieve the Non Dimensional Value Volatility Jacobian

Returns:

The Non Dimensional Value Volatility Jacobian

liquidityVolatilityGradient

public double liquidityVolatilityGradient()

Retrieve the Non Dimensional Value Liquidity/Volatility Gradient

Returns:

The Non Dimensional Value Liquidity/Volatility Gradient