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 Rd 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
It provides the following Functionality:
  • Construct the Standard JumpDiffusionEdge Instance #1
  • Construct the Standard JumpDiffusionEdge Instance #2
  • JumpDiffusionEdge Constructor
  • Retrieve the Edge Time Increment
  • Retrieve the Start Realization
  • Retrieve the Deterministic Component
  • Retrieve the Diffusion Stochastic Component
  • Retrieve the Diffusion Wander Realization
  • Retrieve the Jump Stochastic Component
  • Retrieve the Jump Wander Realization
  • Retrieve the Finish Realization
  • Retrieve the Gross Change
  • Retrieve the Stochastic Diffusion Edge Instance
  • Retrieve the Stochastic Jump Edge Instance

Module Computational Core Module
Library Numerical Analysis Library
Project Rd Continuous/Discrete Probability Measures
Package Stochastic Jump Diffusion Vertex Edge

Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • JumpDiffusionEdge

      public JumpDiffusionEdge​(double start, double deterministic, StochasticEdgeDiffusion stochasticEdgeDiffusion, StochasticEdgeJump stochasticEdgeJump, JumpDiffusionEdgeUnit unit) throws java.lang.Exception
      JumpDiffusionEdge Constructor
      Parameters:
      start - The Starting Random Variable Realization
      deterministic - The Deterministic Increment Component
      stochasticEdgeDiffusion - The Stochastic Diffusion Edge Instance
      stochasticEdgeJump - The Stochastic Jump Edge Instance
      unit - The Random Unit Realization
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final JumpDiffusionEdge Standard​(double start, double deterministic, double diffusionStochastic, boolean jumpOccurred, double hazardRate, double hazardIntegral, double jumpTarget, double timeIncrement, double unitDiffusion, double unitJump)
      Construct the Standard JumpDiffusionEdge Instance #1
      Parameters:
      start - The Starting Random Variable Realization
      deterministic - The Deterministic Increment Component
      diffusionStochastic - The Diffusion Stochastic Edge Change Amount
      jumpOccurred - TRUE - The Jump Occurred in this Edge Period
      hazardRate - The Hazard Rate
      hazardIntegral - The Level Hazard Integral
      jumpTarget - The Jump Target
      timeIncrement - The Time Increment
      unitDiffusion - The Diffusion Random Variable
      unitJump - The Jump Random Variable
      Returns:
      The JumpDiffusionEdge Instance

    • Standard

      public static final JumpDiffusionEdge Standard​(double start, double deterministic, double diffusionStochastic, StochasticEdgeJump stochasticEdgeJump, JumpDiffusionEdgeUnit unit)
      Construct the Standard JumpDiffusionEdge Instance #2
      Parameters:
      start - The Starting Random Variable Realization
      deterministic - The Deterministic Increment Component
      diffusionStochastic - The Diffusion Stochastic Edge Change Amount
      stochasticEdgeJump - The Stochastic Jump Edge Instance
      unit - 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