Uses of Class
org.drip.execution.impact.TransactionFunction

Packages that use TransactionFunction

Package	Description
org.drip.execution.athl	Almgren-Thum-Hauptmann-Li Calibration
org.drip.execution.impact	Market Impact Transaction Function Implementation
org.drip.execution.parameters	Empirical Market Impact Coefficients Calibration
org.drip.execution.profiletime	Participation Rate Profile Time Models
org.drip.execution.tradingtime	Coordinated Variation Trading Time Models

Uses of TransactionFunction in org.drip.execution.athl

Subclasses of TransactionFunction in org.drip.execution.athl

Modifier and Type	Class	Description
class	PermanentImpactNoArbitrage	PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
class	PermanentImpactQuasiArbitrage	PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no Quasi- Arbitrage Criterion identified by Huberman and Stanzl (2004).
class	TemporaryImpact	TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).

Methods in org.drip.execution.athl that return TransactionFunction

Modifier and Type	Method	Description
TransactionFunction	TransactionRealization.permanentMarketImpactFunction()	Retrieve the Permanent Market Impact Transaction Function
TransactionFunction	TransactionRealization.temporaryMarketImpactFunction()	Retrieve the Temporary Market Impact Transaction Function

Constructors in org.drip.execution.athl with parameters of type TransactionFunction

Constructor	Description
TransactionRealization(TransactionFunction tfPermanent, TransactionFunction tfTemporary, double dblVolatility, double dblX, double dblT, double dblTPost)	TransactionRealization Constructor

Uses of TransactionFunction in org.drip.execution.impact

Subclasses of TransactionFunction in org.drip.execution.impact

Modifier and Type	Class	Description
class	ParticipationRateLinear	ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate, along with an Offset.
class	ParticipationRatePower	ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the Price Change scales as a Power of the Trade Rate.
class	TransactionFunctionLinear	TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).
class	TransactionFunctionPower	TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).

Uses of TransactionFunction in org.drip.execution.parameters

Methods in org.drip.execution.parameters that return TransactionFunction

Modifier and Type	Method	Description
abstract TransactionFunction	PriceMarketImpact.permanentTransactionFunction()	Generate the Permanent Impact Transaction Function
TransactionFunction	PriceMarketImpactLinear.permanentTransactionFunction()	Generate the Permanent Impact Transaction Function
TransactionFunction	PriceMarketImpactPower.permanentTransactionFunction()	Generate the Permanent Impact Transaction Function
abstract TransactionFunction	PriceMarketImpact.temporaryTransactionFunction()	Generate the Temporary Impact Transaction Function
TransactionFunction	PriceMarketImpactLinear.temporaryTransactionFunction()	Generate the Temporary Impact Transaction Function
TransactionFunction	PriceMarketImpactPower.temporaryTransactionFunction()	Generate the Temporary Impact Transaction Function

Uses of TransactionFunction in org.drip.execution.profiletime

Methods in org.drip.execution.profiletime that return TransactionFunction

Modifier and Type	Method	Description
TransactionFunction	BackgroundParticipationRate.epochImpactFunction()	Compute the Epoch Market Impact Function
TransactionFunction	UniformParticipationRate.epochImpactFunction()
TransactionFunction	UniformParticipationRateLinear.epochImpactFunction()
TransactionFunction	BackgroundParticipationRate.impactFunction(double dblTime)	Compute the Market Impact Function from the Volatility Function
TransactionFunction	UniformParticipationRate.impactFunction(double dblTime)
TransactionFunction	UniformParticipationRateLinear.impactFunction(double dblTime)

Constructors in org.drip.execution.profiletime with parameters of type TransactionFunction

Constructor	Description
UniformParticipationRate(TransactionFunction tf)	UniformParticipationRate Constructor

Uses of TransactionFunction in org.drip.execution.tradingtime

Methods in org.drip.execution.tradingtime that return TransactionFunction

Modifier and Type	Method	Description
TransactionFunction	CoordinatedParticipationRateLinear.epochImpactFunction()
TransactionFunction	CoordinatedParticipationRateLinear.impactFunction(double dblTime)