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
- Module = Product Core Module
- Library = Transaction Cost Analytics
- Project = Rd Order Specification, Handling, and Management
- Package = Benchmark/Tie/Peg Price Thresholds
- Author:
- Lakshmi Krishnamurthy
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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 Pricedouble
explicitCosts()
Retrieve the Explicit Costsdouble
slippage()
Calculate the IS SlippageTrade
trade()
Retrieve the Trade InstanceMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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ImplementationShortfall
public ImplementationShortfall(Trade trade, double decisionPrice, double explicitCosts) throws java.lang.ExceptionImplementationShortfall Constructor- Parameters:
trade
- Trade InstancedecisionPrice
- Decision PriceexplicitCosts
- Explicit Costs- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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trade
Retrieve the Trade Instance- Returns:
- Trade Instance
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decisionPrice
public double decisionPrice()Retrieve the Decision Price- Returns:
- Decision Price
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explicitCosts
public double explicitCosts()Retrieve the Explicit Costs- Returns:
- Explicit Costs
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slippage
public double slippage()Calculate the IS Slippage- Returns:
- IS Slippage
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