org.drip.execution.sensitivity

Class ControlNodesGreek

java.lang.Object

org.drip.execution.sensitivity.ControlNodesGreek

Direct Known Subclasses:

TrajectoryControlNodesGreek

public class ControlNodesGreek
extends java.lang.Object

ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ControlNodesGreek(double dblValue, double[] adblJacobian, double[][] aadblHessian) ControlNodesGreek Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	hessian() Retrieve the Objective Function Penalty Hessian
double[]	jacobian() Retrieve the Objective Function Penalty Jacobian
double	value() Retrieve the Objective Function Penalty Value

Methods inherited from class java.lang.Object

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

Constructor Detail

ControlNodesGreek

public ControlNodesGreek(double dblValue,
                         double[] adblJacobian,
                         double[][] aadblHessian)
                  throws java.lang.Exception

ControlNodesGreek Constructor

Parameters:

dblValue - The Objective Function Penalty Value

adblJacobian - The Objective Function Penalty Jacobian

aadblHessian - The Objective Function Penalty Hessian

Throws:

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

Method Detail

value

public double value()

Retrieve the Objective Function Penalty Value

Returns:

The Objective Function Penalty Value

jacobian

public double[] jacobian()

Retrieve the Objective Function Penalty Jacobian

Returns:

The Objective Function Penalty Jacobian

hessian

public double[][] hessian()

Retrieve the Objective Function Penalty Hessian

Returns:

The Objective Function Penalty Hessian