org.drip.quant.stochastic

Class GenericIncrement

java.lang.Object

org.drip.quant.stochastic.GenericIncrement

Direct Known Subclasses:

VolumeTimeFrame

public class GenericIncrement
extends java.lang.Object

GenericIncrement implements the Deterministic and the Stochastic Components of a Random Increment. 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. - Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes, Mathematical Finance 11 (1) 79-96. - Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility, Review of Financial Studies 7 (4) 631-651.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
GenericIncrement(double dblDeterministic, double dblStochastic, double dblWander) GenericIncrement Constructor

Method Summary

Modifier and Type	Method and Description
double	deterministic() Retrieve the Deterministic Increment Component
double	stochastic() Retrieve the Stochastic Increment Component
double	wander() Retrieve the Random Wander Realization

Methods inherited from class java.lang.Object

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

Constructor Detail

GenericIncrement

public GenericIncrement(double dblDeterministic,
                        double dblStochastic,
                        double dblWander)
                 throws java.lang.Exception

GenericIncrement Constructor

Parameters:

dblDeterministic - The Deterministic Increment Component

dblStochastic - The Stochastic Increment Component

dblWander - The Random Wander Realization

Throws:

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

Method Detail

deterministic

public double deterministic()

Retrieve the Deterministic Increment Component

Returns:

The Deterministic Increment Component

stochastic

public double stochastic()

Retrieve the Stochastic Increment Component

Returns:

The Stochastic Increment Component

wander

public double wander()

Retrieve the Random Wander Realization

Returns:

The Random Wander Realization