Enum Class BenchmarkExecutor.Benchmark

java.lang.Object

java.lang.Enum<BenchmarkExecutor.Benchmark>

com.quantfinlib.execution.BenchmarkExecutor.Benchmark

All Implemented Interfaces:

Serializable, Comparable<BenchmarkExecutor.Benchmark>, Constable

Enclosing class:

BenchmarkExecutor

public static enum BenchmarkExecutor.Benchmark
extends Enum<BenchmarkExecutor.Benchmark>

The benchmark this parent is measured against.

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
ARRIVAL_PRICE	Front-loaded fixed curve 1 - (1 - f)^2 against the arrival price.
CLOSING_PRICE	Track the closing price: back-loaded toward the close.
IMPLEMENTATION_SHORTFALL	Almgren-Chriss shortfall trajectory (Almgren and Chriss, 2000, eq. 18): completed fraction 1 - sinh(kT (1 - f)) / sinh(kT) with urgency kT set by BenchmarkExecutor.withShortfallUrgency(double) (default 2); volatility raises the pace further.
OPENING_PRICE	Track the opening price: aggressively front-loaded at the open.
PARTICIPATION	Percentage-of-volume: a fixed share of realized volume (time-agnostic).
TWAP	Equal participation over time.
VWAP	Follow the expected volume curve.

Method Summary

Modifier and Type	Method	Description
static BenchmarkExecutor.Benchmark	valueOf(String name)	Returns the enum constant of this class with the specified name.
static BenchmarkExecutor.Benchmark[]	values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

TWAP

public static final BenchmarkExecutor.Benchmark TWAP

Equal participation over time.

VWAP

public static final BenchmarkExecutor.Benchmark VWAP

Follow the expected volume curve.

ARRIVAL_PRICE

public static final BenchmarkExecutor.Benchmark ARRIVAL_PRICE

Front-loaded fixed curve 1 - (1 - f)^2 against the arrival price. A heuristic shape, not derived from a cost model; use IMPLEMENTATION_SHORTFALL for a risk-aversion-driven trajectory.

IMPLEMENTATION_SHORTFALL

public static final BenchmarkExecutor.Benchmark IMPLEMENTATION_SHORTFALL

Almgren-Chriss shortfall trajectory (Almgren and Chriss, 2000, eq. 18): completed fraction 1 - sinh(kT (1 - f)) / sinh(kT) with urgency kT set by BenchmarkExecutor.withShortfallUrgency(double) (default 2); volatility raises the pace further.

CLOSING_PRICE

public static final BenchmarkExecutor.Benchmark CLOSING_PRICE

Track the closing price: back-loaded toward the close.

OPENING_PRICE

public static final BenchmarkExecutor.Benchmark OPENING_PRICE

Track the opening price: aggressively front-loaded at the open.

PARTICIPATION

public static final BenchmarkExecutor.Benchmark PARTICIPATION

Percentage-of-volume: a fixed share of realized volume (time-agnostic).

Method Details

values

public static BenchmarkExecutor.Benchmark[] values()

Returns an array containing the constants of this enum class, in the order they are declared.

Returns:

an array containing the constants of this enum class, in the order they are declared

valueOf

public static BenchmarkExecutor.Benchmark valueOf(String name)

Returns the enum constant of this class with the specified name. The string must match exactly an identifier used to declare an enum constant in this class. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum class has no constant with the specified name

NullPointerException - if the argument is null