Uses of Package
org.drip.execution.hjb
| Package | Description |
|---|---|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
| org.drip.execution.hjb |
Optimal Hamilton-Jacobi-Bellman Execution
|
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Classes in org.drip.execution.hjb used by org.drip.execution.adaptive Class Description NonDimensionalCost NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State.NonDimensionalCostEvolver NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Variants of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model. -
Classes in org.drip.execution.hjb used by org.drip.execution.hjb Class Description NonDimensionalCost NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State.NonDimensionalCostCorrelated NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non dimensional Cost Value Function to the Individual Correlated Market States.NonDimensionalCostEvolver NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Variants of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.NonDimensionalCostEvolverSystemic NonDimensionalCostEvolverSystemic implements the 1D HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Systemic Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.NonDimensionalCostSystemic NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional Cost Value Function to the Systemic Market State.