org.drip.execution.principal

Class OptimalMeasureDependence

java.lang.Object

org.drip.execution.principal.OptimalMeasureDependence

public class OptimalMeasureDependence
extends java.lang.Object

OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio. It also holds the Constant . 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 16 (6) 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
OptimalMeasureDependence(double dblConstant, double dblLiquidityExponent, double dblBlockSizeExponent, double dblVolatilityExponent, double dblAdjustedPrincipalDiscountExponent) OptimalMeasureDependence Constructor

Method Summary

Modifier and Type	Method and Description
double	adjustedPrincipalDiscountExponent() Retrieve the Adjusted Principal Discount Dependence Exponent
double	blockSizeExponent() Retrieve the Block Size Dependence Exponent
double	constant() Retrieve the Constant
double	liquidityExponent() Retrieve the Liquidity Dependence Exponent
double	volatilityExponent() Retrieve the Volatility Dependence Exponent

Methods inherited from class java.lang.Object

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

Constructor Detail

OptimalMeasureDependence

public OptimalMeasureDependence(double dblConstant,
                                double dblLiquidityExponent,
                                double dblBlockSizeExponent,
                                double dblVolatilityExponent,
                                double dblAdjustedPrincipalDiscountExponent)
                         throws java.lang.Exception

OptimalMeasureDependence Constructor

Parameters:

dblConstant - The Optimal Measure Constant

dblLiquidityExponent - The Optimal Measure Liquidity Exponent

dblBlockSizeExponent - The Optimal Measure Block Size Exponent

dblVolatilityExponent - The Optimal Measure Volatility Exponent

dblAdjustedPrincipalDiscountExponent - The Optimal Measure Adjusted Principal Discount Exponent

Throws:

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

Method Detail

constant

public double constant()

Retrieve the Constant

Returns:

The Constant

blockSizeExponent

public double blockSizeExponent()

Retrieve the Block Size Dependence Exponent

Returns:

The Block Size Dependence Exponent

liquidityExponent

public double liquidityExponent()

Retrieve the Liquidity Dependence Exponent

Returns:

The Liquidity Dependence Exponent

volatilityExponent

public double volatilityExponent()

Retrieve the Volatility Dependence Exponent

Returns:

The Volatility Dependence Exponent

adjustedPrincipalDiscountExponent

public double adjustedPrincipalDiscountExponent()

Retrieve the Adjusted Principal Discount Dependence Exponent

Returns:

The Adjusted Principal Discount Dependence Exponent