Package org.drip.portfolioconstruction.cost

Class TransactionChargeMarketImpact

java.lang.Object
org.drip.portfolioconstruction.core.Block
org.drip.portfolioconstruction.cost.TransactionCharge
org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
public class TransactionChargeMarketImpact
extends TransactionCharge
TransactionChargeMarketImpact contains the Parameters for the Power Law Transaction Charge Scheme.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TransactionChargeMarketImpact​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient, double exponent)
    TransactionChargeMarketImpact Constructor

  • Method Summary

    Modifier and Type Method Description
    double coefficient()
    Retrieve the Transaction Charge Coefficient
    double estimate​(double initialSize, double finalSize)
    Estimate the Transaction Charge for a Single Holdings Change
    double exponent()
    Retrieve the Transaction Charge Exponent
    static TransactionChargeMarketImpact ThreeFifthsPowerLaw​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient)
    Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
    static TransactionChargeMarketImpact TwoThirdsPowerLaw​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient)
    Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance

    Methods inherited from class org.drip.portfolioconstruction.core.Block

    description, hashCode, id, name, Standard, timeStamp

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TransactionChargeMarketImpact

      public TransactionChargeMarketImpact​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient, double exponent) throws java.lang.Exception
      TransactionChargeMarketImpact Constructor
      Parameters:
      name - Transaction Charge Name
      id - Transaction Charge ID
      description - Description of the Transaction Charge
      coefficient - Transaction Charge Coefficient
      exponent - Transaction Charge Exponent
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • TwoThirdsPowerLaw

      public static final TransactionChargeMarketImpact TwoThirdsPowerLaw​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient)
      Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance
      Parameters:
      name - Transaction Charge Name
      id - Transaction Charge ID
      description - Description of the Transaction Charge
      coefficient - Transaction Charge Coefficient
      Returns:
      The Two-Third's Power Law TransactionChargeMarketImpact Instance

    • ThreeFifthsPowerLaw

      public static final TransactionChargeMarketImpact ThreeFifthsPowerLaw​(java.lang.String name, java.lang.String id, java.lang.String description, double coefficient)
      Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
      Parameters:
      name - Transaction Charge Name
      id - Transaction Charge ID
      description - Description of the Transaction Charge
      coefficient - Transaction Charge Coefficient
      Returns:
      The Three-Fifth's Power Law TransactionChargeMarketImpact Instance

    • coefficient

      public double coefficient()
      Retrieve the Transaction Charge Coefficient
      Returns:
      The Transaction Charge Coefficient

    • exponent

      public double exponent()
      Retrieve the Transaction Charge Exponent
      Returns:
      The Transaction Charge Exponent

    • estimate

      public double estimate​(double initialSize, double finalSize) throws java.lang.Exception
      Description copied from class: TransactionCharge
      Estimate the Transaction Charge for a Single Holdings Change
      Specified by:
      estimate in class TransactionCharge
      Parameters:
      initialSize - Initial Size
      finalSize - Final Size
      Returns:
      The Transaction Charge Estimate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid