Class AlmgrenChriss.Trajectory

java.lang.Object

com.quantfinlib.microstructure.AlmgrenChriss.Trajectory

Enclosing class:

AlmgrenChriss

public static final class AlmgrenChriss.Trajectory
extends Object

The optimal schedule: holdings[j] is the position after interval j (holdings[0] = X, holdings[N] = 0); trades[j] is sold in interval j+1. Costs are in price·shares units versus the arrival price.

Constructor Summary

Constructors

Constructor	Description
Trajectory(double[] holdings, double[] trades, double kappa, double expectedCost, double costVariance)	Creates the value; array and collection arguments are copied.

Method Summary

Modifier and Type	Method	Description
double	costVariance()	costVariance.
boolean	equals(Object other)
double	expectedCost()	expectedCost.
int	hashCode()
double	holdings(int i)	Element i of holdings.
double[]	holdingsCopy()	A fresh copy of holdings.
int	holdingsLength()	Length of holdings.
double	kappa()	kappa.
String	toString()
double	trades(int i)	Element i of trades.
double[]	tradesCopy()	A fresh copy of trades.
int	tradesLength()	Length of trades.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

Trajectory

public Trajectory(double[] holdings,
 double[] trades,
 double kappa,
 double expectedCost,
 double costVariance)

Creates the value; array and collection arguments are copied.

Method Details

holdings

public double holdings(int i)

Element i of holdings.

holdingsLength

public int holdingsLength()

Length of holdings.

holdingsCopy

public double[] holdingsCopy()

A fresh copy of holdings.

trades

public double trades(int i)

Element i of trades.

tradesLength

public int tradesLength()

Length of trades.

tradesCopy

public double[] tradesCopy()

A fresh copy of trades.

kappa

public double kappa()

kappa.

expectedCost

public double expectedCost()

expectedCost.

costVariance

public double costVariance()

costVariance.

equals

public boolean equals(Object other)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object