Package org.drip.execution.sensitivity

Class ControlNodesGreek

java.lang.Object
org.drip.execution.sensitivity.ControlNodesGreek
Direct Known Subclasses:
TrajectoryControlNodesGreek
public class ControlNodesGreek
extends java.lang.Object
ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ControlNodesGreek​(double dblValue, double[] adblJacobian, double[][] aadblHessian)
    ControlNodesGreek Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] hessian()
    Retrieve the Objective Function Penalty Hessian
    double[] jacobian()
    Retrieve the Objective Function Penalty Jacobian
    double value()
    Retrieve the Objective Function Penalty Value

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ControlNodesGreek

      public ControlNodesGreek​(double dblValue, double[] adblJacobian, double[][] aadblHessian) throws java.lang.Exception
      ControlNodesGreek Constructor
      Parameters:
      dblValue - The Objective Function Penalty Value
      adblJacobian - The Objective Function Penalty Jacobian
      aadblHessian - The Objective Function Penalty Hessian
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • value

      public double value()
      Retrieve the Objective Function Penalty Value
      Returns:
      The Objective Function Penalty Value

    • jacobian

      public double[] jacobian()
      Retrieve the Objective Function Penalty Jacobian
      Returns:
      The Objective Function Penalty Jacobian

    • hessian

      public double[][] hessian()
      Retrieve the Objective Function Penalty Hessian
      Returns:
      The Objective Function Penalty Hessian