Uses of Package
org.drip.execution.discrete

Packages that use org.drip.execution.discrete
Package Description
org.drip.execution.capture
Execution Trajectory Transaction Cost Capture
org.drip.execution.discrete
Trajectory Slice Execution Cost Distribution
  • Classes in org.drip.execution.discrete used by org.drip.execution.capture
    Class Description
    OptimalSerialCorrelationAdjustment
    OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval.
    ShortfallIncrement
    ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be executed over Time.
    ShortfallIncrementDistribution
    ShortfallIncrementDistribution holds the Parameters of the R1 Normal Short fall Increment Distribution.
  • Classes in org.drip.execution.discrete used by org.drip.execution.discrete
    Class Description
    EvolutionIncrement
    EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
    OptimalSerialCorrelationAdjustment
    OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval.
    PriceIncrement
    PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
    ShortfallIncrement
    ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be executed over Time.
    ShortfallIncrementDistribution
    ShortfallIncrementDistribution holds the Parameters of the R1 Normal Short fall Increment Distribution.