Package org.drip.sample.lvar

Liquidity VaR Based Optimal Trajectory
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    OptimalTrajectoryNoDrift
    OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive of Drift.
    OptimalTrajectoryWithDrift
    OptimalTrajectoryWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, inclusive of Drift.