Package org.drip.execution.parameters

Class AssetTransactionSettings

java.lang.Object

org.drip.execution.parameters.AssetTransactionSettings

public class AssetTransactionSettings
extends java.lang.Object

AssetTransactionSettings contains the Asset Transaction Settings Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme. 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 = Empirical Market Impact Coefficients Calibration

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AssetTransactionSettings(double dblPrice, double dblBackgroundVolume, double dblBidAskSpread)	AssetTransactionSettings Constructor

Method Summary

Modifier and Type	Method	Description
double	backgroundVolume()	Retrieve the Background Volume
double	bidAskSpread()	Retrieve the Bid-Ask Spread
double	price()	Retrieve the Asset Price

Methods inherited from class java.lang.Object

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

Constructor Details

AssetTransactionSettings

public AssetTransactionSettings(double dblPrice,
double dblBackgroundVolume,
double dblBidAskSpread)
                         throws java.lang.Exception

AssetTransactionSettings Constructor

Parameters:

dblPrice - The Asset Price

dblBackgroundVolume - The Background Volume

dblBidAskSpread - The Bid-Ask Spread

Throws:

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

Method Details

price

public double price()

Retrieve the Asset Price

Returns:

The Asset Price

bidAskSpread

public double bidAskSpread()

Retrieve the Bid-Ask Spread

Returns:

The Bid-Ask Spread

backgroundVolume

public double backgroundVolume()

Retrieve the Background Volume

Returns:

The Background Volume