org.drip.function.r1tor1

Class AlmgrenEnhancedEulerUpdate

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate

public class AlmgrenEnhancedEulerUpdate
extends R1ToR1

AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme. The References are: - Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf. - Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility, SIAM Journal of Financial Mathematics 3 (1) 163-181.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
AlmgrenEnhancedEulerUpdate(double dblA, double dblB) AlmgrenEnhancedEulerUpdate Constructor

Method Summary

Modifier and Type	Method and Description
double	a() Retrieve the "A" Parameter
double	b() Retrieve the "B" Parameter
double	evaluate(double dblT) Evaluate for the given variate

Methods inherited from class org.drip.function.definition.R1ToR1

derivative, differential, differential, integrate, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

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

Constructor Detail

AlmgrenEnhancedEulerUpdate

public AlmgrenEnhancedEulerUpdate(double dblA,
                                  double dblB)
                           throws java.lang.Exception

AlmgrenEnhancedEulerUpdate Constructor

Parameters:

dblA - The "A" Parameter

dblB - The "B" Parameter

Throws:

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

Method Detail

a

public double a()

Retrieve the "A" Parameter

Returns:

The "A" Parameter

b

public double b()

Retrieve the "B" Parameter

Returns:

The "B" Parameter

evaluate

public double evaluate(double dblT)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblT - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done