Package org.drip.execution.hjb

Class NonDimensionalCost

java.lang.Object
org.drip.execution.hjb.NonDimensionalCost
Direct Known Subclasses:
NonDimensionalCostCorrelated, NonDimensionalCostSystemic
public class NonDimensionalCost
extends java.lang.Object
NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State. The References are:

  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
  • Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
  • Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NonDimensionalCost​(double dblRealization, double dblNonDimensionalTradeRate)
    NonDimensionalCost Constructor

  • Method Summary

    Modifier and Type Method Description
    double nonDimensionalTradeRate()
    Retrieve the Non-dimensional Trade Rate
    double realization()
    Retrieve the Realized Non-dimensional Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • NonDimensionalCost

      public NonDimensionalCost​(double dblRealization, double dblNonDimensionalTradeRate) throws java.lang.Exception
      NonDimensionalCost Constructor
      Parameters:
      dblRealization - The Non dimensional Value Function Realization
      dblNonDimensionalTradeRate - The Non-dimensional Trade Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • realization

      public double realization()
      Retrieve the Realized Non-dimensional Value
      Returns:
      The Realized Non-dimensional Value

    • nonDimensionalTradeRate

      public double nonDimensionalTradeRate()
      Retrieve the Non-dimensional Trade Rate
      Returns:
      The Non-dimensional Trade Rate