| Class | Description |
|---|---|
| ParticipationRateLinear |
ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price
Change scales linearly with the Trade Rate, along with an Offset.
|
| ParticipationRatePower |
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the
Price Change scales as a Power of the Trade Rate.
|
| TransactionFunction |
TransactionFunction exports the Temporary/Permanent Market Impact Displacement/Volatility Functional
Dependence on the Trade Rate.
|
| TransactionFunctionLinear |
TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000)
and Almgren (2003).
|
| TransactionFunctionPower |
TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss
(2000) and Almgren (2003).
|