org.drip.execution.impact

Class ParticipationRatePower

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionPower

org.drip.execution.impact.ParticipationRatePower

public class ParticipationRatePower
extends TransactionFunctionPower

ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the Price Change scales as a Power of 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., and N. Chriss (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
ParticipationRatePower(double dblConstant, double dblExponent) ParticipationRatePower Constructor

Method Summary

Modifier and Type	Method and Description
double	constant() Retrieve the Constant Market Impact Parameter
double	derivative(double dblTradeRate, int iOrder) Calculate the derivative as a double
double	evaluate(double dblTradeRate) Evaluate for the given variate
double	exponent() Retrieve the Power Law Exponent Market Impact Parameter
double	modulate(double dblTradeInterval) Modulate/Scale the Impact Output
double	regularize(double dblTradeInterval) Regularize the Input Function using the specified Trade Inputs

Methods inherited from class org.drip.execution.impact.TransactionFunction

crossHoldingsDerivative, evaluate, leftHoldingsDerivative, rightHoldingsDerivative

Methods inherited from class org.drip.function.definition.R1ToR1

differential, differential, integrate, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

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

Constructor Detail

ParticipationRatePower

public ParticipationRatePower(double dblConstant,
                              double dblExponent)
                       throws java.lang.Exception

ParticipationRatePower Constructor

Parameters:

dblConstant - The Market Impact Constant Parameter

dblExponent - The Market Impact Power Law Exponent

Throws:

java.lang.Exception - Propagated up from R1ToR1

Method Detail

constant

public double constant()

Description copied from class: TransactionFunctionPower

Retrieve the Constant Market Impact Parameter

Specified by:

constant in class TransactionFunctionPower

Returns:

The Constant Market Impact Parameter

exponent

public double exponent()

Description copied from class: TransactionFunctionPower

Retrieve the Power Law Exponent Market Impact Parameter

Specified by:

exponent in class TransactionFunctionPower

Returns:

The Power Law Exponent Market Impact Parameter

regularize

public double regularize(double dblTradeInterval)
                  throws java.lang.Exception

Description copied from class: TransactionFunction

Regularize the Input Function using the specified Trade Inputs

Specified by:

regularize in class TransactionFunction

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Regularize Input

Throws:

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

modulate

public double modulate(double dblTradeInterval)
                throws java.lang.Exception

Description copied from class: TransactionFunction

Modulate/Scale the Impact Output

Specified by:

modulate in class TransactionFunction

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Modulated Output

Throws:

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

evaluate

public double evaluate(double dblTradeRate)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblTradeRate - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

derivative

public double derivative(double dblTradeRate,
                         int iOrder)
                  throws java.lang.Exception

Description copied from class: R1ToR1

Calculate the derivative as a double

Overrides:

derivative in class R1ToR1

Parameters:

dblTradeRate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative

Throws:

java.lang.Exception - Thrown if Inputs are Invalid