Package org.drip.execution.cost

Class ImplementationShortfall

java.lang.Object
org.drip.execution.cost.ImplementationShortfall
public class ImplementationShortfall
extends java.lang.Object
ImplementationShortfall implements the Implementation Shortfall/Slippage associated with a Trade. The References are:

  • Berkowitz, S. A., D. E. Logue, and E. A. J. Noser (1988): The Total Cost of Transactions on the NYSE Journal of Finance 43 (1) 97-112
  • Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets Quantitative Finance 17 (1) 21-39
  • Jacob, B. (2024): 7 Execution Algorithms You Should Know About…. https://www.linkedin.com/pulse/7-execution-algorithms-you-should-know-benjamin-jacob-vl7pf/
  • Vassilis, P. (2005): Slow and Fast Markets Journal of Economics and Business 57 (6) 576-593
  • Weiss, D. (2006): After the Trade is Made: Processing Securities Transactions Portfolio Publishing London UK


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ImplementationShortfall​(Trade trade, double decisionPrice, double explicitCosts)
    ImplementationShortfall Constructor

  • Method Summary

    Modifier and Type Method Description
    double decisionPrice()
    Retrieve the Decision Price
    double explicitCosts()
    Retrieve the Explicit Costs
    double slippage()
    Calculate the IS Slippage
    Trade trade()
    Retrieve the Trade Instance

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ImplementationShortfall

      public ImplementationShortfall​(Trade trade, double decisionPrice, double explicitCosts) throws java.lang.Exception
      ImplementationShortfall Constructor
      Parameters:
      trade - Trade Instance
      decisionPrice - Decision Price
      explicitCosts - Explicit Costs
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • trade

      public Trade trade()
      Retrieve the Trade Instance
      Returns:
      Trade Instance

    • decisionPrice

      public double decisionPrice()
      Retrieve the Decision Price
      Returns:
      Decision Price

    • explicitCosts

      public double explicitCosts()
      Retrieve the Explicit Costs
      Returns:
      Explicit Costs

    • slippage

      public double slippage()
      Calculate the IS Slippage
      Returns:
      IS Slippage