Package org.drip.execution.sensitivity

Interface ControlNodesGreekGenerator

All Known Implementing Classes:
LinearImpactBlockTrajectoryEstimator, LinearImpactTrajectoryEstimator, LinearImpactUniformTrajectoryEstimator, Slice, TrajectoryShortfallEstimator
public interface ControlNodesGreekGenerator
ControlNodesGreekGenerator exposes the Functionality to compute the Base Value, the Jacobian, and the Hessian Sensitivities of the Mean and the Variance Contributions to the Permanent Impact, Temporary Impact, and the Market Core Components. 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

  • Method Details

    • permanentImpactExpectation

      ControlNodesGreek permanentImpactExpectation​(ArithmeticPriceEvolutionParameters apep)
      Generate the Permanent Impact Expectation Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Permanent Impact Expectation Contribution

    • permanentImpactVariance

      ControlNodesGreek permanentImpactVariance​(ArithmeticPriceEvolutionParameters apep)
      Generate the Permanent Impact Variance Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Permanent Impact Variance Contribution

    • temporaryImpactExpectation

      ControlNodesGreek temporaryImpactExpectation​(ArithmeticPriceEvolutionParameters apep)
      Generate the Temporary Impact Expectation Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Temporary Impact Expectation Contribution

    • temporaryImpactVariance

      ControlNodesGreek temporaryImpactVariance​(ArithmeticPriceEvolutionParameters apep)
      Generate the Temporary Impact Variance Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Temporary Impact Variance Contribution

    • marketDynamicsExpectation

      ControlNodesGreek marketDynamicsExpectation​(ArithmeticPriceEvolutionParameters apep)
      Generate the Market Dynamics Expectation Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Market Dynamics Expectation Contribution

    • marketDynamicsVariance

      ControlNodesGreek marketDynamicsVariance​(ArithmeticPriceEvolutionParameters apep)
      Generate the Market Dynamics Variance Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Market Dynamics Variance Contribution

    • expectationContribution

      ControlNodesGreek expectationContribution​(ArithmeticPriceEvolutionParameters apep)
      Generate the Total Expectation Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Total Expectation Contribution

    • varianceContribution

      ControlNodesGreek varianceContribution​(ArithmeticPriceEvolutionParameters apep)
      Generate the Total Variance Contribution
      Parameters:
      apep - The Arithmetic Price Walk Evolution Parameters
      Returns:
      The Total Variance Contribution