PLearn::PricingTransactionPairProfitFunction Class Reference

#include <PricingTransactionPairProfitFunction.h>

Inheritance diagram for PLearn::PricingTransactionPairProfitFunction:

[legend]Collaboration diagram for PLearn::PricingTransactionPairProfitFunction:

[legend]List of all members.

Public Member Functions
	PricingTransactionPairProfitFunction ()
	PricingTransactionPairProfitFunction (real the_multiplicative_cost, real the_additive_cost=0, real the_per_unit_cost=0)
	PLEARN_DECLARE_OBJECT (PricingTransactionPairProfitFunction)
virtual string	info () const
	returns a bit more informative string about object (default returns classname())
virtual real	evaluate (const Vec &output, const Vec &target) const
	returns K(x1,x2)
Static Protected Member Functions
void	declareOptions (OptionList &ol)
	Recognized options: all 3 fields.
Protected Attributes
real	multiplicative_cost
	transaction loss
real	additive_cost
	transaction loss
real	per_unit_cost
	transaction loss
Private Types
typedef Kernel	inherited

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Detailed Description

profit function that takes (output,target) as arguments and computes a profit. The output has at least 2 elements which represent the number of units of the security bought (or sold, if <0), and the cash change due to the transaction at time t1. The target vector contains at least one element which represents the price of the security at a later time t2. Profit is computed as follows: transaction_loss_t2 = nb_units_transaction>0 ? additive_cost + multiplicative_cost * |nb_units_transaction| * price_t2 : 0 profit = cash_earned_at_t1 + nb_units_transaction * price_t2 - transaction_loss_t2;

where additive_cost, multiplicative_cost, per_unit_cost are user-specified parameters that control transaction losses

Definition at line 67 of file PricingTransactionPairProfitFunction.h.

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Member Typedef Documentation

typedef Kernel PLearn::PricingTransactionPairProfitFunction::inherited [private]

Reimplemented from PLearn::Kernel. Definition at line 69 of file PricingTransactionPairProfitFunction.h.

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Constructor & Destructor Documentation

PLearn::PricingTransactionPairProfitFunction::PricingTransactionPairProfitFunction (   )  [inline]

Definition at line 76 of file PricingTransactionPairProfitFunction.h.

PLearn::PricingTransactionPairProfitFunction::PricingTransactionPairProfitFunction (  real  the_multiplicative_cost, real  the_additive_cost = 0, real  the_per_unit_cost = 0 )  [inline]

Definition at line 77 of file PricingTransactionPairProfitFunction.h. References additive_cost, multiplicative_cost, and per_unit_cost.

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Member Function Documentation

void PLearn::PricingTransactionPairProfitFunction::declareOptions (  OptionList &  ol  )  [static, protected]

Recognized options: all 3 fields. Reimplemented from PLearn::Kernel. Definition at line 63 of file PricingTransactionPairProfitFunction.cc. References PLearn::declareOption(), and PLearn::OptionList.

real PLearn::PricingTransactionPairProfitFunction::evaluate (  const Vec &  output, const Vec &  target )  const [virtual]

returns K(x1,x2) Implements PLearn::Kernel. Definition at line 51 of file PricingTransactionPairProfitFunction.cc. References additive_cost, multiplicative_cost, per_unit_cost, and PLearn::Vec.

virtual string PLearn::PricingTransactionPairProfitFunction::info (   )  const [inline, virtual]

returns a bit more informative string about object (default returns classname()) Reimplemented from PLearn::Object. Definition at line 85 of file PricingTransactionPairProfitFunction.h.

PLearn::PricingTransactionPairProfitFunction::PLEARN_DECLARE_OBJECT (  PricingTransactionPairProfitFunction   )

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Member Data Documentation

real PLearn::PricingTransactionPairProfitFunction::additive_cost [protected]

transaction loss Definition at line 73 of file PricingTransactionPairProfitFunction.h. Referenced by evaluate(), and PricingTransactionPairProfitFunction().

real PLearn::PricingTransactionPairProfitFunction::multiplicative_cost [protected]

transaction loss Definition at line 72 of file PricingTransactionPairProfitFunction.h. Referenced by evaluate(), and PricingTransactionPairProfitFunction().

real PLearn::PricingTransactionPairProfitFunction::per_unit_cost [protected]

transaction loss Definition at line 74 of file PricingTransactionPairProfitFunction.h. Referenced by evaluate(), and PricingTransactionPairProfitFunction().

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The documentation for this class was generated from the following files:

• PricingTransactionPairProfitFunction.h
• PricingTransactionPairProfitFunction.cc

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