Uses of Package
org.drip.execution.principal
| Package | Description |
|---|---|
| org.drip.execution.principal |
Information Ratio Based Principal Trades
|
-
Classes in org.drip.execution.principal used by org.drip.execution.principal Class Description GrossProfitEstimator GrossProfitEstimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount.HorizonInformationRatioDependence HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information Ratio and the corresponding Horizon.OptimalMeasureDependence OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.