Record Class AlmgrenChriss.Params

java.lang.Object
java.lang.Record
com.quantfinlib.microstructure.AlmgrenChriss.Params
Record Components:
totalShares - X, the parent order size
horizon - T, execution horizon (in the chosen time unit)
intervals - N trading intervals
volatility - σ, price volatility per √time-unit (price units)
temporaryImpact - η: price concession per unit of trade rate
permanentImpact - γ: permanent price move per share traded
riskAversion - λ ≥ 0: variance penalty (0 = risk-neutral / TWAP)
Enclosing class:
AlmgrenChriss
public static record AlmgrenChriss.Params(double totalShares, double horizon, int intervals, double volatility, double temporaryImpact, double permanentImpact, double riskAversion) extends Record

  • Constructor Details

    • Params

      public Params(double totalShares, double horizon, int intervals, double volatility, double temporaryImpact, double permanentImpact, double riskAversion)
      Creates an instance of a Params record class.
      Parameters:
      totalShares - the value for the totalShares record component
      horizon - the value for the horizon record component
      intervals - the value for the intervals record component
      volatility - the value for the volatility record component
      temporaryImpact - the value for the temporaryImpact record component
      permanentImpact - the value for the permanentImpact record component
      riskAversion - the value for the riskAversion record component

  • Method Details

    • withRiskAversion

      public AlmgrenChriss.Params withRiskAversion(double lambda)

    • 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.

    • totalShares

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

    • horizon

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

    • intervals

      public int intervals()
      Returns the value of the intervals record component.
      Returns:
      the value of the intervals record component

    • volatility

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

    • temporaryImpact

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

    • permanentImpact

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

    • riskAversion

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