Package org.drip.execution.sensitivity

Class TrajectoryControlNodesGreek

java.lang.Object

org.drip.execution.sensitivity.ControlNodesGreek

org.drip.execution.sensitivity.TrajectoryControlNodesGreek

public class TrajectoryControlNodesGreek
extends ControlNodesGreek

TrajectoryControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Trajectory Control Nodes Sensitivity Greeks

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TrajectoryControlNodesGreek(double dblValue, double[] adblJacobian, double[][] aadblHessian, java.util.List<ControlNodesGreek> lsCNGSlice)	TrajectoryControlNodesGreek Constructor

Method Summary

Modifier and Type	Method	Description
double[][]	innerHessian()	Retrieve the Inner Hessian Matrix
double[]	innerJacobian()	Retrieve the Inner Jacobian Array
java.util.List<ControlNodesGreek>	sliceGreeks()	Retrieve the List of the Slice Control Nodes Greek

Methods inherited from class org.drip.execution.sensitivity.ControlNodesGreek

hessian, jacobian, value

Methods inherited from class java.lang.Object

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

Constructor Details

TrajectoryControlNodesGreek

public TrajectoryControlNodesGreek(double dblValue,
double[] adblJacobian,
double[][] aadblHessian,
java.util.List<ControlNodesGreek> lsCNGSlice)
                            throws java.lang.Exception

TrajectoryControlNodesGreek Constructor

Parameters:

dblValue - The Objective Function Penalty Value

adblJacobian - The Objective Function Penalty Jacobian

aadblHessian - The Objective Function Penalty Hessian

lsCNGSlice - The List of the Slice Control Nodes Greek

Throws:

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

Method Details

sliceGreeks

public java.util.List<ControlNodesGreek> sliceGreeks()

Retrieve the List of the Slice Control Nodes Greek

Returns:

The List of the Slice Control Nodes Greek

innerJacobian

public double[] innerJacobian()

Retrieve the Inner Jacobian Array

Returns:

The Inner Jacobian Array

innerHessian

public double[][] innerHessian()

Retrieve the Inner Hessian Matrix

Returns:

The Inner Hessian Matrix