Package org.drip.execution.principal

Class GrossProfitExpectation

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.principal.GrossProfitExpectation

public class GrossProfitExpectation
extends R1ToR1

GrossProfitExpectation implements the R¹ To R¹ Univariate that computes the Explicit Profit of a Principal Execution given the Optimal Trajectory. 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. (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 = Information Ratio Based Principal Trades

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
GrossProfitExpectation(double dblNumExecutedUnit, double dblTransactionCost)	GrossProfitExpectation Constructor

Method Summary

Modifier and Type	Method	Description
double	evaluate(double dblUnitDiscount)	Evaluate for the given variate
double	numExecutedUnit()	Retrieve the Number of Executed Units
double	transactionCost()	Retrieve the Execution Transaction Cost

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

antiDerivative, conditionNumber, derivative, 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

GrossProfitExpectation

public GrossProfitExpectation(double dblNumExecutedUnit,
double dblTransactionCost)
                       throws java.lang.Exception

GrossProfitExpectation Constructor

Parameters:

dblNumExecutedUnit - The Number of Executed Units

dblTransactionCost - The Execution Transaction Cost

Throws:

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

Method Details

transactionCost

public double transactionCost()

Retrieve the Execution Transaction Cost

Returns:

The Execution Transaction Cost

numExecutedUnit

public double numExecutedUnit()

Retrieve the Number of Executed Units

Returns:

The Number of Executed Units

evaluate

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

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

Parameters:

dblUnitDiscount - Variate

Returns:

Returns the calculated value

Throws:

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