Package org.drip.execution.cost

Linear Temporary Market Impact Cost
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ConstrainedLinearTemporaryImpact
    ConstrainedLinearTemporaryImpact computes and holds the Optimal Trajectory under Trading Rate Sign Constraints using Linear Temporary Impact Function for the given set of Inputs.
    LinearTemporaryImpact
    LinearTemporaryImpact computes and holds the Optimal Trajectory using the Linear Temporary Impact Function for the given set of Inputs.