Package org.drip.execution.hjb

Class NonDimensionalCostCorrelated

java.lang.Object
org.drip.execution.hjb.NonDimensionalCost
org.drip.execution.hjb.NonDimensionalCostCorrelated
public class NonDimensionalCostCorrelated
extends NonDimensionalCost
NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non dimensional Cost Value Function to the Individual Correlated Market States. 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
    NonDimensionalCostCorrelated​(double dblRealization, double dblLiquidityGradient, double dblLiquidityJacobian, double dblVolatilityGradient, double dblVolatilityJacobian, double dblLiquidityVolatilityGradient, double dblNonDimensionalTradeRate)
    NonDimensionalCostCorrelated Constructor

  • Method Summary

    Modifier and Type Method Description
    double liquidityGradient()
    Retrieve the Non Dimensional Value Liquidity Gradient
    double liquidityJacobian()
    Retrieve the Non Dimensional Value Liquidity Jacobian
    double liquidityVolatilityGradient()
    Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
    double volatilityGradient()
    Retrieve the Non Dimensional Value Volatility Gradient
    double volatilityJacobian()
    Retrieve the Non Dimensional Value Volatility Jacobian
    static NonDimensionalCostCorrelated Zero()
    Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance

    Methods inherited from class org.drip.execution.hjb.NonDimensionalCost

    nonDimensionalTradeRate, realization

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • NonDimensionalCostCorrelated

      public NonDimensionalCostCorrelated​(double dblRealization, double dblLiquidityGradient, double dblLiquidityJacobian, double dblVolatilityGradient, double dblVolatilityJacobian, double dblLiquidityVolatilityGradient, double dblNonDimensionalTradeRate) throws java.lang.Exception
      NonDimensionalCostCorrelated Constructor
      Parameters:
      dblRealization - The Realized Non Dimensional Value
      dblNonDimensionalTradeRate - The Non Dimensional Trade Rate
      dblLiquidityGradient - The Realized Non Dimensional Value Liquidity Gradient
      dblLiquidityJacobian - The Realized Non Dimensional Value Liquidity Jacobian
      dblVolatilityGradient - The Realized Non Dimensional Value Volatility Gradient
      dblVolatilityJacobian - The Realized Non Dimensional Value Volatility Jacobian
      dblLiquidityVolatilityGradient - The Realized Non Dimensional Value Liquidity/Volatility Gradient
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Zero

      public static final NonDimensionalCostCorrelated Zero()
      Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance
      Returns:
      The Zero Sensitivity Correlated Non-dimensional Cost Instance

    • liquidityGradient

      public double liquidityGradient()
      Retrieve the Non Dimensional Value Liquidity Gradient
      Returns:
      The Non Dimensional Value Liquidity Gradient

    • liquidityJacobian

      public double liquidityJacobian()
      Retrieve the Non Dimensional Value Liquidity Jacobian
      Returns:
      The Non Dimensional Value Liquidity Jacobian

    • volatilityGradient

      public double volatilityGradient()
      Retrieve the Non Dimensional Value Volatility Gradient
      Returns:
      The Non Dimensional Value Volatility Gradient

    • volatilityJacobian

      public double volatilityJacobian()
      Retrieve the Non Dimensional Value Volatility Jacobian
      Returns:
      The Non Dimensional Value Volatility Jacobian

    • liquidityVolatilityGradient

      public double liquidityVolatilityGradient()
      Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
      Returns:
      The Non Dimensional Value Liquidity/Volatility Gradient