Package org.drip.execution.capture

Class TrajectoryShortfallRealization

java.lang.Object
org.drip.execution.capture.TrajectoryShortfallRealization
public class TrajectoryShortfallRealization
extends java.lang.Object
TrajectoryShortfallRealization holds Execution Cost Realization across each Interval in the Trade during a Single Simulation Run. 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 Details

    • TrajectoryShortfallRealization

      public TrajectoryShortfallRealization​(java.util.List<ShortfallIncrement> lsSI) throws java.lang.Exception
      TrajectoryShortfallRealization Constructor
      Parameters:
      lsSI - List of the Composite Slice Short-fall Increments
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • list

      public java.util.List<ShortfallIncrement> list()
      Retrieve the List of the Realized Composite Cost Increments
      Returns:
      The List of the Realized Composite Cost Increments

    • incrementalMarketDynamicDrift

      public double[] incrementalMarketDynamicDrift()
      Generate the Array of Incremental Market Dynamic Cost Drift
      Returns:
      The Array of Incremental Market Dynamic Cost Drift

    • cumulativeMarketDynamicDrift

      public double[] cumulativeMarketDynamicDrift()
      Generate the Array of Cumulative Market Dynamic Cost Drift
      Returns:
      The Array of Cumulative Market Dynamic Cost Drift

    • totalMarketDynamicDrift

      public double totalMarketDynamicDrift()
      Generate the Total Market Dynamic Cost Drift
      Returns:
      The Total Market Dynamic Cost Drift

    • incrementalMarketDynamicWander

      public double[] incrementalMarketDynamicWander()
      Generate the Array of Incremental Market Dynamic Cost Wander
      Returns:
      The Array of Incremental Market Dynamic Cost Wander

    • cumulativeMarketDynamicWander

      public double[] cumulativeMarketDynamicWander()
      Generate the Array of Cumulative Market Dynamic Cost Wander
      Returns:
      The Array of Cumulative Market Dynamic Cost Wander

    • totalMarketDynamicWander

      public double totalMarketDynamicWander()
      Generate the Total Market Dynamic Cost Wander
      Returns:
      The Total Market Dynamic Cost Wander

    • incrementalPermanentDrift

      public double[] incrementalPermanentDrift()
      Generate the Array of Incremental Permanent Cost Drift
      Returns:
      The Array of Incremental Permanent Cost Drift

    • cumulativePermanentDrift

      public double[] cumulativePermanentDrift()
      Generate the Array of Cumulative Permanent Cost Drift
      Returns:
      The Array of Cumulative Permanent Cost Drift

    • totalPermanentDrift

      public double totalPermanentDrift()
      Generate the Total Permanent Cost Drift
      Returns:
      The Total Permanent Cost Drift

    • incrementalPermanentWander

      public double[] incrementalPermanentWander()
      Generate the Array of Incremental Permanent Cost Wander
      Returns:
      The Array of Incremental Permanent Cost Wander

    • cumulativePermanentWander

      public double[] cumulativePermanentWander()
      Generate the Array of Cumulative Permanent Cost Wander
      Returns:
      The Array of Cumulative Permanent Cost Wander

    • totalPermanentWander

      public double totalPermanentWander()
      Generate the Total Permanent Cost Wander
      Returns:
      The Total Permanent Cost Wander

    • incrementalTemporaryDrift

      public double[] incrementalTemporaryDrift()
      Generate the Array of Incremental Temporary Cost Drift
      Returns:
      The Array of Incremental Temporary Cost Drift

    • cumulativeTemporaryDrift

      public double[] cumulativeTemporaryDrift()
      Generate the Array of Cumulative Temporary Cost Drift
      Returns:
      The Array of Cumulative Temporary Cost Drift

    • totalTemporaryDrift

      public double totalTemporaryDrift()
      Generate the Total Temporary Cost Drift
      Returns:
      The Total Temporary Cost Drift

    • incrementalTemporaryWander

      public double[] incrementalTemporaryWander()
      Generate the Array of Incremental Temporary Cost Wander
      Returns:
      The Array of Incremental Temporary Cost Wander

    • cumulativeTemporaryWander

      public double[] cumulativeTemporaryWander()
      Generate the Array of Cumulative Temporary Cost Wander
      Returns:
      The Array of Cumulative Temporary Cost Wander

    • totalTemporaryWander

      public double totalTemporaryWander()
      Generate the Total Temporary Cost Wander
      Returns:
      The Total Temporary Cost Wander