Package org.drip.execution.impact

Class TransactionFunctionLinear

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionLinear

Direct Known Subclasses:

ParticipationRateLinear

public abstract class TransactionFunctionLinear
extends TransactionFunction

TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003). 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
• Almgren, R., and N. Chriss (2003): Optimal Execution with Nonlinear Impact Functions and Trading- Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
• Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
• Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62

• 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
TransactionFunctionLinear()

Method Summary

Modifier and Type	Method	Description
abstract double	offset()	Retrieve the Offset Market Impact Parameter
abstract double	slope()	Retrieve the Slope Market Impact Parameter

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

crossHoldingsDerivative, evaluate, leftHoldingsDerivative, modulate, regularize, rightHoldingsDerivative

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

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

Methods inherited from class java.lang.Object

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

Constructor Details

TransactionFunctionLinear

public TransactionFunctionLinear()

Method Details

offset

public abstract double offset()

Retrieve the Offset Market Impact Parameter

Returns:

The Offset Market Impact Parameter

slope

public abstract double slope()

Retrieve the Slope Market Impact Parameter

Returns:

The Slope Market Impact Parameter