| Package | Description |
|---|---|
| org.drip.execution.principal |
| Class and Description |
|---|
| GrossProfitEstimator
GrossProfitEstimator generates the Gross Profit Distribution and the Information Ratio for a given Level
of Principal Discount.
|
| HorizonInformationRatioDependence
HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information
Ratio and the corresponding Horizon.
|
| OptimalMeasureDependence
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.
|