Record Class AlmgrenChriss.Trajectory

java.lang.Object
java.lang.Record
com.quantfinlib.microstructure.AlmgrenChriss.Trajectory
Enclosing class:
AlmgrenChriss
public static record AlmgrenChriss.Trajectory(double[] holdings, double[] trades, double kappa, double expectedCost, double costVariance) extends Record
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 an instance of a Trajectory record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    costVariance()
    Returns the value of the costVariance record component.
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    double
    expectedCost()
    Returns the value of the expectedCost record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    double[]
    holdings()
    Returns the value of the holdings record component.
    double
    kappa()
    Returns the value of the kappa record component.
    final String
    toString()
    Returns a string representation of this record class.
    double[]
    trades()
    Returns the value of the trades record component.

    Methods inherited from class java.lang.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 an instance of a Trajectory record class.
      Parameters:
      holdings - the value for the holdings record component
      trades - the value for the trades record component
      kappa - the value for the kappa record component
      expectedCost - the value for the expectedCost record component
      costVariance - the value for the costVariance 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. Reference components are compared with Objects::equals(Object,Object); primitive components 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.

    • holdings

      public double[] holdings()
      Returns the value of the holdings record component.
      Returns:
      the value of the holdings record component

    • trades

      public double[] trades()
      Returns the value of the trades record component.
      Returns:
      the value of the trades record component

    • kappa

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

    • expectedCost

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

    • costVariance

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