Package org.drip.measure.realization

Class JumpDiffusionEdge

java.lang.Object

org.drip.measure.realization.JumpDiffusionEdge

Direct Known Subclasses:

VolumeTimeFrame

public class JumpDiffusionEdge
extends java.lang.Object

JumpDiffusionEdge implements the Deterministic and the Stochastic Components of a R^d Marginal Random Increment Edge as well the Original Marginal Random Variate. 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
• Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
• Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = Stochastic Jump Diffusion Vertex Edge

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
JumpDiffusionEdge(double dblStart, double dblDeterministic, StochasticEdgeDiffusion sed, StochasticEdgeJump sej, JumpDiffusionEdgeUnit jdeu)	JumpDiffusionEdge Constructor

Method Summary

Modifier and Type	Method	Description
double	deterministic()	Retrieve the Deterministic Component
double	diffusionStochastic()	Retrieve the Diffusion Stochastic Component
double	diffusionWander()	Retrieve the Diffusion Wander Realization
double	finish()	Retrieve the Finish Realization
double	grossChange()	Retrieve the Gross Change
double	jumpStochastic()	Retrieve the Jump Stochastic Component
double	jumpWander()	Retrieve the Jump Wander Realization
static JumpDiffusionEdge	Standard(double dblStart, double dblDeterministic, double dblDiffusionStochastic, boolean bJumpOccurred, double dblHazardRate, double dblHazardIntegral, double dblJumpTarget, double dblTimeIncrement, double dblUnitDiffusion, double dblUnitJump)	Construct the Standard JumpDiffusionEdge Instance
static JumpDiffusionEdge	Standard(double dblStart, double dblDeterministic, double dblDiffusionStochastic, StochasticEdgeJump sej, JumpDiffusionEdgeUnit jdeu)	Construct the Standard JumpDiffusionEdge Instance
double	start()	Retrieve the Start Realization
StochasticEdgeDiffusion	stochasticDiffusionEdge()	Retrieve the Stochastic Diffusion Edge Instance
StochasticEdgeJump	stochasticJumpEdge()	Retrieve the Stochastic Jump Edge Instance
double	timeIncrement()	Retrieve the Edge Time Increment

Methods inherited from class java.lang.Object

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

Constructor Details

JumpDiffusionEdge

public JumpDiffusionEdge(double dblStart,
double dblDeterministic,
StochasticEdgeDiffusion sed,
StochasticEdgeJump sej,
JumpDiffusionEdgeUnit jdeu)
                  throws java.lang.Exception

JumpDiffusionEdge Constructor

Parameters:

dblStart - The Starting Random Variable Realization

dblDeterministic - The Deterministic Increment Component

sed - The Stochastic Diffusion Edge Instance

sej - The Stochastic Jump Edge Instance

jdeu - The Random Unit Realization

Throws:

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

Method Details

Standard

public static final JumpDiffusionEdge Standard(double dblStart,
double dblDeterministic,
double dblDiffusionStochastic,
boolean bJumpOccurred,
double dblHazardRate,
double dblHazardIntegral,
double dblJumpTarget,
double dblTimeIncrement,
double dblUnitDiffusion,
double dblUnitJump)

Construct the Standard JumpDiffusionEdge Instance

Parameters:

dblStart - The Starting Random Variable Realization

dblDeterministic - The Deterministic Increment Component

dblDiffusionStochastic - The Diffusion Stochastic Edge Change Amount

bJumpOccurred - TRUE - The Jump Occurred in this Edge Period

dblHazardRate - The Hazard Rate

dblHazardIntegral - The Level Hazard Integral

dblJumpTarget - The Jump Target

dblTimeIncrement - The Time Increment

dblUnitDiffusion - The Diffusion Random Variable

dblUnitJump - The Jump Random Variable

Returns:

The JumpDiffusionEdge Instance

Standard

public static final JumpDiffusionEdge Standard(double dblStart,
double dblDeterministic,
double dblDiffusionStochastic,
StochasticEdgeJump sej,
JumpDiffusionEdgeUnit jdeu)

Construct the Standard JumpDiffusionEdge Instance

Parameters:

dblStart - The Starting Random Variable Realization

dblDeterministic - The Deterministic Increment Component

dblDiffusionStochastic - The Diffusion Stochastic Edge Change Amount

sej - The Stochastic Jump Edge Instance

jdeu - The Random Unit Realization

Returns:

The JumpDiffusionEdge Instance

timeIncrement

public double timeIncrement()

Retrieve the Edge Time Increment

Returns:

The Edge Time Increment

start

public double start()

Retrieve the Start Realization

Returns:

The Start Realization

deterministic

public double deterministic()

Retrieve the Deterministic Component

Returns:

The Deterministic Component

diffusionStochastic

public double diffusionStochastic()

Retrieve the Diffusion Stochastic Component

Returns:

The Diffusion Stochastic Component

diffusionWander

public double diffusionWander()

Retrieve the Diffusion Wander Realization

Returns:

The Diffusion Wander Realization

jumpStochastic

public double jumpStochastic()

Retrieve the Jump Stochastic Component

Returns:

The Jump Stochastic Component

jumpWander

public double jumpWander()

Retrieve the Jump Wander Realization

Returns:

The Jump Wander Realization

finish

public double finish()

Retrieve the Finish Realization

Returns:

The Finish Realization

grossChange

public double grossChange()

Retrieve the Gross Change

Returns:

The Gross Change

stochasticDiffusionEdge

public StochasticEdgeDiffusion stochasticDiffusionEdge()

Retrieve the Stochastic Diffusion Edge Instance

Returns:

The Stochastic Diffusion Edge Instance

stochasticJumpEdge

public StochasticEdgeJump stochasticJumpEdge()

Retrieve the Stochastic Jump Edge Instance

Returns:

The Stochastic Jump Edge Instance