Package org.drip.execution.principal

Class HorizonInformationRatioDependence

java.lang.Object

org.drip.execution.principal.HorizonInformationRatioDependence

public class HorizonInformationRatioDependence
extends java.lang.Object

HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information Ratio and the corresponding Horizon. 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
HorizonInformationRatioDependence(OptimalMeasureDependence omdHorizon, OptimalMeasureDependence omdInformationRatio)	HorizonInformationRatioDependence Constructor

Method Summary

Modifier and Type	Method	Description
OptimalMeasureDependence	omdHorizon()	Retrieve the Optimal Measure Dependence for the Time Horizon
OptimalMeasureDependence	omdInformationRatio()	Retrieve the Optimal Measure Dependence for the Time Horizon

Methods inherited from class java.lang.Object

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

Constructor Details

HorizonInformationRatioDependence

public HorizonInformationRatioDependence(OptimalMeasureDependence omdHorizon,
OptimalMeasureDependence omdInformationRatio)
                                  throws java.lang.Exception

HorizonInformationRatioDependence Constructor

Parameters:

omdHorizon - The Horizon Optimal Measure Dependence Instance

omdInformationRatio - The Information Ratio Optimal Measure Dependence Instance

Throws:

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

Method Details

omdHorizon

public OptimalMeasureDependence omdHorizon()

Retrieve the Optimal Measure Dependence for the Time Horizon

Returns:

Optimal Measure Dependence for Time Horizon

omdInformationRatio

public OptimalMeasureDependence omdInformationRatio()

Retrieve the Optimal Measure Dependence for the Time Horizon

Returns:

Optimal Measure Dependence for Time Horizon