Package org.drip.function.r1tor1

Class AlmgrenEnhancedEulerUpdate

java.lang.Object
org.drip.function.definition.R1ToR1
org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
public class AlmgrenEnhancedEulerUpdate
extends R1ToR1
AlmgrenEnhancedEulerUpdate is a R1 To R1 Function that is used in Almgren (2009, 2012) to illustrate the Construction of the Enhanced Euler Update Scheme. The References are:
  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AlmgrenEnhancedEulerUpdate​(double dblA, double dblB)
    AlmgrenEnhancedEulerUpdate Constructor

  • Method Summary

    Modifier and Type Method Description
    double a()
    Retrieve the "A" Parameter
    double b()
    Retrieve the "B" Parameter
    double evaluate​(double dblT)
    Evaluate for the given variate

    Methods inherited from class org.drip.function.definition.R1ToR1

    antiDerivative, derivative, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AlmgrenEnhancedEulerUpdate

      public AlmgrenEnhancedEulerUpdate​(double dblA, double dblB) throws java.lang.Exception
      AlmgrenEnhancedEulerUpdate Constructor
      Parameters:
      dblA - The "A" Parameter
      dblB - The "B" Parameter
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • a

      public double a()
      Retrieve the "A" Parameter
      Returns:
      The "A" Parameter

    • b

      public double b()
      Retrieve the "B" Parameter
      Returns:
      The "B" Parameter

    • evaluate

      public double evaluate​(double dblT) throws java.lang.Exception
      Description copied from class: R1ToR1
      Evaluate for the given variate
      Specified by:
      evaluate in class R1ToR1
      Parameters:
      dblT - Variate
      Returns:
      Returns the calculated value
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done