Package org.drip.execution.impact

Class ParticipationRateLinear

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionLinear

org.drip.execution.impact.ParticipationRateLinear

Direct Known Subclasses:

PermanentImpactNoArbitrage

public class ParticipationRateLinear
extends TransactionFunctionLinear

ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate, along with an Offset. The References are:

• Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
• Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
• Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
• Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Market Impact Transaction Function Implementation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ParticipationRateLinear(double dblOffset, double dblSlope)	ParticipationRateLinear Constructor

Method Summary

Modifier and Type	Method	Description
double	derivative(double dblTradeRate, int iOrder)	Calculate the derivative as a double
double	evaluate(double dblTradeRate)	Evaluate for the given variate
double	modulate(double dblTradeInterval)	Modulate/Scale the Impact Output
static ParticipationRateLinear	NoImpact()	Construct a Vanilla Zero-Impact ParticipationRateLinear Instance
double	offset()	Retrieve the Offset Market Impact Parameter
double	regularize(double dblTradeInterval)	Regularize the Input Function using the specified Trade Inputs
double	slope()	Retrieve the Linear Market Impact Slope Parameter
static ParticipationRateLinear	SlopeOnly(double dblSlope)	Construct a Vanilla Slope-Only ParticipationRateLinear Instance

Methods inherited from class org.drip.execution.impact.TransactionFunction

crossHoldingsDerivative, evaluate, leftHoldingsDerivative, rightHoldingsDerivative

Methods inherited from class org.drip.function.definition.R1ToR1

antiDerivative, conditionNumber, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue

Methods inherited from class java.lang.Object

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

Constructor Details

ParticipationRateLinear

public ParticipationRateLinear(double dblOffset,
double dblSlope)
                        throws java.lang.Exception

ParticipationRateLinear Constructor

Parameters:

dblOffset - The Offset Market Impact Parameter

dblSlope - The Linear Market Impact Slope Parameter

Throws:

java.lang.Exception - Propagated up from R1ToR1

Method Details

NoImpact

public static final ParticipationRateLinear NoImpact()

Construct a Vanilla Zero-Impact ParticipationRateLinear Instance

Returns:

The Vanilla Zero-Impact ParticipationRateLinear Instance

SlopeOnly

public static final ParticipationRateLinear SlopeOnly(double dblSlope)

Construct a Vanilla Slope-Only ParticipationRateLinear Instance

Parameters:

dblSlope - The Slope

Returns:

The Vanilla Slope-Only ParticipationRateLinear Instance

slope

public double slope()

Retrieve the Linear Market Impact Slope Parameter

Specified by:

slope in class TransactionFunctionLinear

Returns:

The Linear Market Impact Slope Parameter

offset

public double offset()

Retrieve the Offset Market Impact Parameter

Specified by:

offset in class TransactionFunctionLinear

Returns:

The Offset Market Impact Parameter

regularize

public double regularize(double dblTradeInterval)
                  throws java.lang.Exception

Description copied from class: TransactionFunction

Regularize the Input Function using the specified Trade Inputs

Specified by:

regularize in class TransactionFunction

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Regularize Input

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

modulate

public double modulate(double dblTradeInterval)
                throws java.lang.Exception

Description copied from class: TransactionFunction

Modulate/Scale the Impact Output

Specified by:

modulate in class TransactionFunction

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Modulated Output

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

evaluate

public double evaluate(double dblTradeRate)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblTradeRate - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

derivative

public double derivative(double dblTradeRate,
int iOrder)
                  throws java.lang.Exception

Description copied from class: R1ToR1

Calculate the derivative as a double

Overrides:

derivative in class R1ToR1

Parameters:

dblTradeRate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative

Throws:

java.lang.Exception - Thrown if Inputs are Invalid