Uses of Package
org.drip.execution.sensitivity
| Package | Description |
|---|---|
| org.drip.execution.capture |
Execution Trajectory Transaction Cost Capture
|
| org.drip.execution.discrete |
Trajectory Slice Execution Cost Distribution
|
| org.drip.execution.risk |
Optimal Execution MVO Efficient Frontier
|
| org.drip.execution.sensitivity |
Trajectory Control Nodes Sensitivity Greeks
|
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Classes in org.drip.execution.sensitivity used by org.drip.execution.capture Class Description ControlNodesGreek ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes.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. -
Classes in org.drip.execution.sensitivity used by org.drip.execution.discrete Class Description ControlNodesGreek ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes.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. -
Classes in org.drip.execution.sensitivity used by org.drip.execution.risk 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. -
Classes in org.drip.execution.sensitivity used by org.drip.execution.sensitivity Class Description ControlNodesGreek ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the Holdings Control Nodes.