org.drip.execution.parameters

Class AssetFlowSettings

java.lang.Object

org.drip.execution.parameters.AssetFlowSettings

public class AssetFlowSettings
extends java.lang.Object

AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). 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. (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. - Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AssetFlowSettings(java.lang.String strAssetID, double dblAverageDailyVolume, double dblNumberOutstanding, double dblDailyVolatility) AssetFlowSettings Constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String	assetID() Retrieve the Asset ID
double	averageDailyVolume() Retrieve the Average Daily Volume
double	dailyVolatility() Retrieve the Daily Volatility
double	denormalizeImpact(double dblNormalizedImpact) De-normalize the Specified Temporary/Permanent Impact
double	inverseTurnover() Retrieve the Daily Inverse Turnover
double	normalizeTradeSize(double dblRawTradeSize, double dblTime) Retrieve the Normalized Trade Size
double	outstandingUnits() Retrieve the Outstanding Number of the Traded Units
double	turnover() Retrieve the Daily Turnover

Methods inherited from class java.lang.Object

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

Constructor Detail

AssetFlowSettings

public AssetFlowSettings(java.lang.String strAssetID,
                         double dblAverageDailyVolume,
                         double dblNumberOutstanding,
                         double dblDailyVolatility)
                  throws java.lang.Exception

AssetFlowSettings Constructor

Parameters:

strAssetID - The Asset ID

dblAverageDailyVolume - The Asset Average Daily Volume

dblNumberOutstanding - The Number of Trade-able Asset Units Outstanding

dblDailyVolatility - The Asset Daily Volatility

Throws:

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

Method Detail

assetID

public java.lang.String assetID()

Retrieve the Asset ID

Returns:

The Asset ID

averageDailyVolume

public double averageDailyVolume()

Retrieve the Average Daily Volume

Returns:

The Average Daily Volume

dailyVolatility

public double dailyVolatility()

Retrieve the Daily Volatility

Returns:

The Daily Volatility

outstandingUnits

public double outstandingUnits()

Retrieve the Outstanding Number of the Traded Units

Returns:

The Outstanding Number of the Traded Units

turnover

public double turnover()

Retrieve the Daily Turnover

Returns:

The Daily Turnover

inverseTurnover

public double inverseTurnover()

Retrieve the Daily Inverse Turnover

Returns:

The Daily Inverse Turnover

normalizeTradeSize

public double normalizeTradeSize(double dblRawTradeSize,
                                 double dblTime)
                          throws java.lang.Exception

Retrieve the Normalized Trade Size

Parameters:

dblRawTradeSize - The Raw Trade Size

dblTime - The Time

Returns:

The Normalized Trade Size

Throws:

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

denormalizeImpact

public double denormalizeImpact(double dblNormalizedImpact)
                         throws java.lang.Exception

De-normalize the Specified Temporary/Permanent Impact

Parameters:

dblNormalizedImpact - The Normalized Impact

Returns:

The De-normalized Temporary/Permanent Impact

Throws:

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