CoordinatedVariationRollingHorizon.java

  1. package org.drip.execution.adaptive;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>CoordinatedVariationRollingHorizon</i> implements the "Rolling Horizon" Approximation of the Optimal
  82.  * Cost Dynamic Trajectory arising from the Coordinated Variation Version of the Stochastic Volatility and
  83.  * the Transaction Function arising from the Realization of the Market State Variable as described in the
  84.  * "Trading Time" Model. The References are:
  85.  * 
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li>
  89.  *          Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  90.  *              Risk</i> <b>3 (2)</b> 5-39
  91.  *      </li>
  92.  *      <li>
  93.  *          Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
  94.  *              https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  95.  *      </li>
  96.  *      <li>
  97.  *          Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility <i>SIAM Journal
  98.  *          of Financial Mathematics</i> <b>3 (1)</b> 163-181
  99.  *      </li>
  100.  *      <li>
  101.  *          Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes <i>Mathematical
  102.  *              Finance</i> <b>11 (1)</b> 79-96
  103.  *      </li>
  104.  *      <li>
  105.  *          Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility <i>Review of
  106.  *              Financial Studies</i> <b>7 (4)</b> 631-651
  107.  *      </li>
  108.  *  </ul>
  109.  *
  110.  *  <br><br>
  111.  *  <ul>
  112.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  113.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  114.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/README.md">Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic</a></li>
  115.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/adaptive/README.md">Coordinated Variation Based Adaptive Execution</a></li>
  116.  *  </ul>
  117.  * 
  118.  * @author Lakshmi Krishnamurthy
  119.  */

  121. public class CoordinatedVariationRollingHorizon extends
  122.     org.drip.execution.adaptive.CoordinatedVariationTrajectory {
  123.     private double[] _adblNonDimensionalCost = null;
  124.     private double[] _adblNonDimensionalHoldings = null;
  125.     private double[] _adblNonDimensionalTradeRate = null;

  127.     /**
  128.      * CoordinatedVariationRollingHorizon Constructor
  129.      * 
  130.      * @param cvtd The Coordinated Variation Trajectory Determinant 
  131.      * @param adblNonDimensionalHoldings The Array of the Non Dimensional Holdings
  132.      * @param adblNonDimensionalTradeRate The Array of the Non Dimensional Trade Rate
  133.      * @param adblNonDimensionalCost The Array of the Non Dimensional Cost
  134.      * 
  135.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  136.      */

  138.     public CoordinatedVariationRollingHorizon (
  139.         final org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant cvtd,
  140.         final double[] adblNonDimensionalHoldings,
  141.         final double[] adblNonDimensionalTradeRate,
  142.         final double[] adblNonDimensionalCost)
  143.         throws java.lang.Exception
  144.     {
  145.         super (cvtd);

  147.         if (null == (_adblNonDimensionalHoldings = adblNonDimensionalHoldings) || null ==
  148.             (_adblNonDimensionalTradeRate = adblNonDimensionalTradeRate) || null == (_adblNonDimensionalCost
  149.                 = adblNonDimensionalCost) || !org.drip.numerical.common.NumberUtil.IsValid
  150.                     (_adblNonDimensionalHoldings) || !org.drip.numerical.common.NumberUtil.IsValid
  151.                         (_adblNonDimensionalTradeRate) || !org.drip.numerical.common.NumberUtil.IsValid
  152.                             (_adblNonDimensionalCost))
  153.             throw new java.lang.Exception
  154.                 ("CoordinatedVariationRollingHorizon Constructor => Invalid Inputs");

  156.         int iNumTimeNode = _adblNonDimensionalHoldings.length;

  158.         if (0 == iNumTimeNode || iNumTimeNode != _adblNonDimensionalTradeRate.length)
  159.             throw new java.lang.Exception
  160.                 ("CoordinatedVariationRollingHorizon Constructor => Invalid Inputs");
  161.     }

  163.     /**
  164.      * Retrieve the Array of the Non Dimensional Holdings
  165.      * 
  166.      * @return The Array of the Non Dimensional Holdings
  167.      */

  169.     public double[] nonDimensionalHoldings()
  170.     {
  171.         return _adblNonDimensionalHoldings;
  172.     }

  174.     /**
  175.      * Retrieve the Array of the Non Dimensional Trade Rate
  176.      * 
  177.      * @return The Array of the Non Dimensional Trade Rate
  178.      */

  180.     public double[] nonDimensionalTradeRate()
  181.     {
  182.         return _adblNonDimensionalTradeRate;
  183.     }

  185.     /**
  186.      * Retrieve the Array of the Non Dimensional Cost
  187.      * 
  188.      * @return The Array of the Non Dimensional Cost
  189.      */

  191.     public double[] nonDimensionalCost()
  192.     {
  193.         return _adblNonDimensionalCost;
  194.     }
  195. }
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