Package org.drip.execution.capture

Execution Trajectory Transaction Cost Capture
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    LinearImpactBlockTrajectoryEstimator
    LinearImpactBlockTrajectoryEstimator estimates the Price/Cost Distribution associated with the Single Block Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
    LinearImpactTrajectoryEstimator
    LinearImpactTrajectoryEstimator estimates the Price/Cost Distribution associated with the Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
    LinearImpactUniformTrajectoryEstimator
    LinearImpactUniformTrajectoryEstimator estimates the Price/Cost Distribution associated with the Uniform Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
    TrajectoryShortfallAggregate
    TrajectoryShortfallAggregate aggregates the Execution Short-fall Distribution across each Interval in the Trade.
    TrajectoryShortfallEstimator
    TrajectoryShortfallEstimator estimates the Price/Short Fall Distribution associated with the Trading Trajectory generated using the specified Evolution Parameters.
    TrajectoryShortfallRealization
    TrajectoryShortfallRealization holds Execution Cost Realization across each Interval in the Trade during a Single Simulation Run.