org.drip.execution.sensitivity

Interface ControlNodesGreekGenerator

All Known Implementing Classes:

LinearImpactBlockTrajectoryEstimator, LinearImpactTrajectoryEstimator, LinearImpactUniformTrajectoryEstimator, Slice, TrajectoryShortfallEstimator

public interface ControlNodesGreekGenerator

ControlNodesGreekGenerator exposes the Functionality to compute the Base Value, the Jacobian, and the Hessian Sensitivities of the Mean and the Variance Contributions to the Permanent Impact, Temporary Impact, and the Market Core Components. 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

Method Summary

Modifier and Type	Method and Description
ControlNodesGreek	expectationContribution(ArithmeticPriceEvolutionParameters apep) Generate the Total Expectation Contribution
ControlNodesGreek	marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Market Dynamics Expectation Contribution
ControlNodesGreek	marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep) Generate the Market Dynamics Variance Contribution
ControlNodesGreek	permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Permanent Impact Expectation Contribution
ControlNodesGreek	permanentImpactVariance(ArithmeticPriceEvolutionParameters apep) Generate the Permanent Impact Variance Contribution
ControlNodesGreek	temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep) Generate the Temporary Impact Expectation Contribution
ControlNodesGreek	temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep) Generate the Temporary Impact Variance Contribution
ControlNodesGreek	varianceContribution(ArithmeticPriceEvolutionParameters apep) Generate the Total Variance Contribution

Method Detail

permanentImpactExpectation

ControlNodesGreek permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Generate the Permanent Impact Expectation Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Expectation Contribution

permanentImpactVariance

ControlNodesGreek permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)

Generate the Permanent Impact Variance Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Variance Contribution

temporaryImpactExpectation

ControlNodesGreek temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Generate the Temporary Impact Expectation Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Expectation Contribution

temporaryImpactVariance

ControlNodesGreek temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)

Generate the Temporary Impact Variance Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Variance Contribution

marketDynamicsExpectation

ControlNodesGreek marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)

Generate the Market Dynamics Expectation Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Expectation Contribution

marketDynamicsVariance

ControlNodesGreek marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)

Generate the Market Dynamics Variance Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Variance Contribution

expectationContribution

ControlNodesGreek expectationContribution(ArithmeticPriceEvolutionParameters apep)

Generate the Total Expectation Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Expectation Contribution

varianceContribution

ControlNodesGreek varianceContribution(ArithmeticPriceEvolutionParameters apep)

Generate the Total Variance Contribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Variance Contribution