Record Class BestExecutionAnalyzer.ShortfallDecomposition

java.lang.Object
java.lang.Record
com.quantfinlib.regulatory.BestExecutionAnalyzer.ShortfallDecomposition
Enclosing class:
BestExecutionAnalyzer
public static record BestExecutionAnalyzer.ShortfallDecomposition(double delayCost, double executionCost, double opportunityCost, double total) extends Record
Perold (1988) implementation shortfall of one order, in currency: 
  delay       = side · (arrival − decision) · executedQty
 execution   = side · Σ q_i · (p_i − arrival)
 opportunity = side · (close − decision) · unfilledQty
 total       = delay + execution + opportunity
with side +1 for a buy and −1 for a sell. Total equals the paper portfolio's P&L (full size at the decision price) minus the real one.

  • Constructor Summary

    Constructors
    Constructor
    Description
    ShortfallDecomposition(double delayCost, double executionCost, double opportunityCost, double total)
    Creates an instance of a ShortfallDecomposition record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    delayCost()
    Returns the value of the delayCost record component.
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    double
    executionCost()
    Returns the value of the executionCost record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    double
    opportunityCost()
    Returns the value of the opportunityCost record component.
    final String
    toString()
    Returns a string representation of this record class.
    double
    total()
    Returns the value of the total record component.

    Methods inherited from class Object

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

  • Constructor Details

    • ShortfallDecomposition

      public ShortfallDecomposition(double delayCost, double executionCost, double opportunityCost, double total)
      Creates an instance of a ShortfallDecomposition record class.
      Parameters:
      delayCost - the value for the delayCost record component
      executionCost - the value for the executionCost record component
      opportunityCost - the value for the opportunityCost record component
      total - the value for the total record component

  • Method Details

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • delayCost

      public double delayCost()
      Returns the value of the delayCost record component.
      Returns:
      the value of the delayCost record component

    • executionCost

      public double executionCost()
      Returns the value of the executionCost record component.
      Returns:
      the value of the executionCost record component

    • opportunityCost

      public double opportunityCost()
      Returns the value of the opportunityCost record component.
      Returns:
      the value of the opportunityCost record component

    • total

      public double total()
      Returns the value of the total record component.
      Returns:
      the value of the total record component