Package org.drip.execution.sensitivity

Trajectory Control Nodes Sensitivity Greeks
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    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.
  • Class Summary
    Class Description
    ControlNodesGreek
    ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes.
    TrajectoryControlNodesGreek
    TrajectoryControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory to the Holdings Control Nodes.