Package org.drip.portfolioconstruction.objective

Class MarketImpactChargeTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.TransactionChargeTerm

org.drip.portfolioconstruction.objective.MarketImpactChargeTerm

public class MarketImpactChargeTerm
extends TransactionChargeTerm

MarketImpactChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a specified Market Impact Charge from the Starting Allocation.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Portfolio Construction Objective Term Suite

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MarketImpactChargeTerm(java.lang.String name, double[] initialHoldingsArray, TransactionChargeMarketImpact[] marketImpactTransactionChargeArray)	MarketImpactChargeTerm Conastructor

Method Summary

Modifier and Type	Method	Description
RdToR1	rdtoR1()	The Rd To R1 Formulation Term

Methods inherited from class org.drip.portfolioconstruction.objective.TransactionChargeTerm

transactionChargeArray

Methods inherited from class org.drip.portfolioconstruction.optimizer.ObjectiveTerm

initialHoldingsArray

Methods inherited from class org.drip.portfolioconstruction.optimizer.FormulationTerm

category

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

MarketImpactChargeTerm

public MarketImpactChargeTerm(java.lang.String name,
double[] initialHoldingsArray,
TransactionChargeMarketImpact[] marketImpactTransactionChargeArray)
                       throws java.lang.Exception

MarketImpactChargeTerm Conastructor

Parameters:

name - Name of the Objective Term

initialHoldingsArray - Initial Holdings

marketImpactTransactionChargeArray - Array of Asset Market Impact Transaction Charge Instances

Throws:

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

Method Details

rdtoR1

public RdToR1 rdtoR1()

Description copied from class: FormulationTerm

The R^d To R¹ Formulation Term

Overrides:

rdtoR1 in class TransactionChargeTerm

Returns:

The R^d To R¹ Formulation Term