Struct AvellanedaExact

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pub struct AvellanedaExact {
    pub gamma: f64,
    pub sigma: f64,
    pub kappa: f64,
    pub a: f64,
    pub terminal_time: f64,
    pub q_max: usize,
    pub terminal_condition: TerminalCondition,
}

Expand description

The exact analytical solution for the Avellaneda-Stoikov model using the spectral method. Solves the system of ODEs for theta(t, q).

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§gamma: f64§sigma: f64§kappa: f64§a: f64§terminal_time: f64§q_max: usize§terminal_condition: TerminalCondition

Terminal condition for the value function at T. Defaults to Zero.

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impl AvellanedaExact

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pub fn new( gamma: f64, sigma: f64, kappa: f64, a: f64, terminal_time: f64, q_max: usize, ) -> Self

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pub fn with_terminal_condition( self, terminal_condition: TerminalCondition, ) -> Self

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pub fn compute_v(&self, t: f64) -> Vec<f64>

Compute v(t, .) vector: the solution to the linearised HJB system at time t. Returns a vector of length 2*q_max+1, indexed by q+q_max.

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pub fn exact_spreads(&self, t: f64, q: f64) -> (f64, f64)

Solves for the optimal spreads at time t given current inventory q.

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pub fn value_function_theta(&self, t: f64, q: f64) -> f64

Computes the value function u(t, x, q, S) = -exp(-gamma * (x + qS + theta(t, q))) Returns theta(t, q).

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impl AnalyticalSolution<2> for AvellanedaExact

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fn value_function(&self, t: f64, state: &[f64; 2]) -> f64

Returns the theoretical value function V(t, state)

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fn optimal_controls(&self, t: f64, state: &[f64; 2]) -> ControlOutput<2>

Returns the optimal controls (intensities/spreads) at (t, state)

Auto Trait Implementations§

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impl UnwindSafe for AvellanedaExact

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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impl<T> BorrowMut<T> for T
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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<ST, DT> CastableFrom<ST, Initialized, Initialized> for DT
where ST: ?Sized, DT: ?Sized,

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impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
where ST: ?Sized, DT: ?Sized,

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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