Package org.drip.execution.cost

Class ConstrainedLinearTemporaryImpact

java.lang.Object

org.drip.execution.cost.LinearTemporaryImpact

org.drip.execution.cost.ConstrainedLinearTemporaryImpact

public class ConstrainedLinearTemporaryImpact
extends LinearTemporaryImpact

ConstrainedLinearTemporaryImpact computes and holds the Optimal Trajectory under Trading Rate Sign Constraints using Linear Temporary Impact Function for the given set of Inputs. The References are:

• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
• Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Brunnermeier, L. K., and L. H. Pedersen (2005): Predatory Trading Journal of Finance 60 (4) 1825-1863
• Almgren, R., and J. Lorenz (2006): Bayesian Adaptive Trading with a Daily Cycle Journal of Trading 1 (4) 38-46
• Kissell, R., and R. Malamut (2007): Algorithmic Decision Making Framework Journal of Trading 1 (1) 12-21

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Linear Temporary Market Impact Cost

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double	criticalDrift()	Retrieve the Critical Drift
static ConstrainedLinearTemporaryImpact	Standard(double dblSpotTime, double dblFinishTime, double dblSpotHoldings, PriorConditionalCombiner pcc, double dblGrossPriceChange, TransactionFunctionLinear tflTemporary)	Generate a ConstrainedLinearTemporaryImpact Instance
double	tradeFinishTime()	Retrieve the Trade Finish Time
double	tradeStartTime()	Retrieve the Trade Start Time

Methods inherited from class org.drip.execution.cost.LinearTemporaryImpact

combiner, driftExpectationEstimate, driftVolatilityEstimate, finishTime, grossPriceChange, instantaneousTradeRate, linearTemporaryImpact, spotHoldings, spotTime, staticTransactionCost, trajectory, transactionCostGain, Unconstrained

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final ConstrainedLinearTemporaryImpact Standard(double dblSpotTime,
double dblFinishTime,
double dblSpotHoldings,
PriorConditionalCombiner pcc,
double dblGrossPriceChange,
TransactionFunctionLinear tflTemporary)

Generate a ConstrainedLinearTemporaryImpact Instance

Parameters:

dblSpotTime - Spot Time

dblFinishTime - Finish Time

dblSpotHoldings - Spot Holdings

pcc - The Prior/Conditional Combiner

dblGrossPriceChange - The Gross Price Change

tflTemporary - The Temporary Linear Impact Function

Returns:

The ConstrainedLinearTemporaryImpact Instance

criticalDrift

public double criticalDrift()

Retrieve the Critical Drift

Returns:

The Critical Drift

tradeStartTime

public double tradeStartTime()

Retrieve the Trade Start Time

Returns:

The Trade Start Time

tradeFinishTime

public double tradeFinishTime()

Retrieve the Trade Finish Time

Returns:

The Trade Finish Time