CoordinatedVariationTrajectoryGenerator.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>CoordinatedVariationTrajectoryGenerator</i> implements the Continuous HJB-based Single Step Optimal
  82.  * Cost Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction
  83.  * Function arising from the Realization of the Market State Variable as described in the "Trading Time"
  84.  * 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 CoordinatedVariationTrajectoryGenerator {

  123.     /**
  124.      * Flag Indicating Trade Rate Initialization from Static Trajectory
  125.      */

  127.     public static final int TRADE_RATE_STATIC_INITIALIZATION = 1;

  129.     /**
  130.      * Flag Indicating Trade Rate Initialization to Zero Initial Value
  131.      */

  133.     public static final int TRADE_RATE_ZERO_INITIALIZATION = 2;

  135.     private org.drip.execution.strategy.OrderSpecification _os = null;
  136.     private int _iTradeRateInitializer = TRADE_RATE_ZERO_INITIALIZATION;
  137.     private org.drip.execution.tradingtime.CoordinatedVariation _cv = null;
  138.     private org.drip.execution.risk.MeanVarianceObjectiveUtility _mvou = null;
  139.     private org.drip.execution.hjb.NonDimensionalCostEvolver _ndce = null;

  141.     private org.drip.execution.dynamics.LinearPermanentExpectationParameters realizedLPEP (
  142.         final double dblMarketState)
  143.     {
  144.         try {
  145.             return new org.drip.execution.dynamics.LinearPermanentExpectationParameters (new
  146.                 org.drip.execution.parameters.ArithmeticPriceDynamicsSettings (0., new
  147.                     org.drip.function.r1tor1.FlatUnivariate (_cv.referenceVolatility() * java.lang.Math.exp
  148.                         (-0.5 * dblMarketState)), 0.), new
  149.                             org.drip.execution.profiletime.UniformParticipationRateLinear
  150.                                 (org.drip.execution.impact.ParticipationRateLinear.NoImpact()), new
  151.                                     org.drip.execution.profiletime.UniformParticipationRateLinear
  152.                                         (org.drip.execution.impact.ParticipationRateLinear.SlopeOnly
  153.                                             (_cv.referenceLiquidity() * java.lang.Math.exp
  154.                                                 (dblMarketState))));
  155.         } catch (java.lang.Exception e) {
  156.             e.printStackTrace();
  157.         }

  159.         return null;
  160.     }

  162.     /**
  163.      * CoordinatedVariationTrajectoryGenerator Constructor
  164.      * 
  165.      * @param os The Order Specification
  166.      * @param cv The Coordinated Variation Instance
  167.      * @param mvou  The Mean Variance Objective Utility Function
  168.      * @param ndce The Non Dimensional Cost Evolver
  169.      * @param iTradeRateInitializer The Trade Rate Initialization Indicator
  170.      * 
  171.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  172.      */

  174.     public CoordinatedVariationTrajectoryGenerator (
  175.         final org.drip.execution.strategy.OrderSpecification os,
  176.         final org.drip.execution.tradingtime.CoordinatedVariation cv,
  177.         final org.drip.execution.risk.MeanVarianceObjectiveUtility mvou,
  178.         final org.drip.execution.hjb.NonDimensionalCostEvolver ndce,
  179.         final int iTradeRateInitializer)
  180.         throws java.lang.Exception
  181.     {
  182.         if (null == (_os = os) || null == (_cv = cv) || null == (_mvou = mvou) || null == (_ndce = ndce) ||
  183.             (TRADE_RATE_STATIC_INITIALIZATION != (_iTradeRateInitializer = iTradeRateInitializer) &&
  184.                 TRADE_RATE_ZERO_INITIALIZATION != _iTradeRateInitializer))
  185.             throw new java.lang.Exception
  186.                 ("CoordinatedVariationTrajectoryGenerator Constructor => Invalid Inputs");
  187.     }

  189.     /**
  190.      * Retrieve the Trade Rate Initialization Indicator
  191.      * 
  192.      * @return The Trade Rate Initialization Indicator
  193.      */

  195.     public int tradeRateInitializer()
  196.     {
  197.         return _iTradeRateInitializer;
  198.     }

  200.     /**
  201.      * Retrieve the Order Specification
  202.      * 
  203.      * @return The Order Specification
  204.      */

  206.     public org.drip.execution.strategy.OrderSpecification orderSpecification()
  207.     {
  208.         return _os;
  209.     }

  211.     /**
  212.      * Retrieve the Coordinated Variation Instance
  213.      * 
  214.      * @return The Coordinated Variation Instance
  215.      */

  217.     public org.drip.execution.tradingtime.CoordinatedVariation coordinatedVariationConstraint()
  218.     {
  219.         return _cv;
  220.     }

  222.     /**
  223.      * Retrieve the Non Dimensional Cost Evolver
  224.      * 
  225.      * @return The Non Dimensional Cost Evolver
  226.      */

  228.     public org.drip.execution.hjb.NonDimensionalCostEvolver evolver()
  229.     {
  230.         return _ndce;
  231.     }

  233.     /**
  234.      * Retrieve the Mean Variance Objective Utility Function
  235.      * 
  236.      * @return The Mean Variance Objective Utility Function
  237.      */

  239.     public org.drip.execution.risk.MeanVarianceObjectiveUtility objectiveUtility()
  240.     {
  241.         return _mvou;
  242.     }

  244.     /**
  245.      * Compute The Coordinated Variation Trajectory Determinant Instance
  246.      * 
  247.      * @return The Coordinated Variation Trajectory Determinant Instance
  248.      */

  250.     public org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant trajectoryDeterminant()
  251.     {
  252.         double dblExecutionSize = _os.size();

  254.         double dblReferenceLiquidity = _cv.referenceLiquidity();

  256.         double dblReferenceVolatility = _cv.referenceVolatility();

  258.         double dblRelaxationTime = _ndce.ornsteinUnlenbeckProcess().referenceRelaxationTime();

  260.         double dblMeanMarketUrgency = _cv.referenceVolatility() * java.lang.Math.sqrt (_mvou.riskAversion() /
  261.             dblReferenceLiquidity);

  263.         double dblTradeRateScale = dblExecutionSize / dblRelaxationTime;

  265.         try {
  266.             return new org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
  267.                 (dblExecutionSize, dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize *
  268.                     dblExecutionSize / dblTradeRateScale, dblTradeRateScale, dblMeanMarketUrgency,
  269.                         dblMeanMarketUrgency * dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize /
  270.                             dblReferenceVolatility * java.lang.Math.pow (_os.maxExecutionTime(), -1.5));
  271.         } catch (java.lang.Exception e) {
  272.             e.printStackTrace();
  273.         }

  275.         return null;
  276.     }

  278.     /**
  279.      * Retrieve the Initial Non Dimensional Cost
  280.      * 
  281.      * @param ms The Initial Market State
  282.      * @param dblTradeRateScale The Trade Rate Scale
  283.      * 
  284.      * @return The Initial Non Dimensional Cost
  285.      */

  287.     public org.drip.execution.hjb.NonDimensionalCost initializeNonDimensionalCost (
  288.         final org.drip.execution.latent.MarketState ms,
  289.         final double dblTradeRateScale)
  290.     {
  291.         if (TRADE_RATE_ZERO_INITIALIZATION == _iTradeRateInitializer)
  292.             return org.drip.execution.hjb.NonDimensionalCostSystemic.Zero();

  294.         if (null == ms || !org.drip.numerical.common.NumberUtil.IsValid (dblTradeRateScale)) return null;

  296.         try {
  297.             org.drip.execution.strategy.ContinuousTradingTrajectory ctt =
  298.                 (org.drip.execution.strategy.ContinuousTradingTrajectory) new
  299.                     org.drip.execution.nonadaptive.ContinuousAlmgrenChriss (_os,
  300.                         org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder.ReferenceCoordinatedVariation
  301.                         (_cv), _mvou).generate();

  303.             if (null == ctt) return null;

  305.             double dblNonDimensionalInstantTradeRate = ctt.tradeRate().evaluate (0.) / dblTradeRateScale;

  307.             double dblNonDimensionalCostSensitivity = java.lang.Math.exp (ms.liquidity()) *
  308.                 dblNonDimensionalInstantTradeRate;

  310.             return new org.drip.execution.hjb.NonDimensionalCostSystemic (0., dblNonDimensionalCostSensitivity,
  311.                 dblNonDimensionalCostSensitivity, dblNonDimensionalInstantTradeRate);
  312.         } catch (java.lang.Exception e) {
  313.             e.printStackTrace();
  314.         }

  316.         return null;
  317.     }

  319.     /**
  320.      * Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
  321.      * 
  322.      * @param aMS Array of Realized Market States
  323.      * 
  324.      * @return The Continuous Coordinated Variation Dynamic Adaptive Trajectory
  325.      */

  327.     public org.drip.execution.adaptive.CoordinatedVariationDynamic adaptive (
  328.         final org.drip.execution.latent.MarketState[] aMS)
  329.     {
  330.         if (null == aMS) return null;

  332.         int iNumTimeNode = aMS.length;

  334.         if (1 >= iNumTimeNode) return null;

  336.         double dblExecutionSize = _os.size();

  338.         double dblReferenceLiquidity = _cv.referenceLiquidity();

  340.         double dblReferenceVolatility = _cv.referenceVolatility();

  342.         double dblRelaxationTime = _ndce.ornsteinUnlenbeckProcess().referenceRelaxationTime();

  344.         double dblNonDimensionalTimeIncrement = _os.maxExecutionTime() / (iNumTimeNode - 1) /
  345.             dblRelaxationTime;

  347.         double dblMeanMarketUrgency = dblReferenceVolatility * java.lang.Math.sqrt (_mvou.riskAversion() /
  348.             dblReferenceLiquidity);

  350.         org.drip.execution.hjb.NonDimensionalCost[] aNDC = new
  351.             org.drip.execution.hjb.NonDimensionalCost[iNumTimeNode];
  352.         double[] adblNonDimensionalScaledTradeRate = new double[iNumTimeNode];
  353.         double dblTradeRateScale = dblExecutionSize / dblRelaxationTime;
  354.         double[] adblNonDimensionalHoldings = new double[iNumTimeNode];
  355.         adblNonDimensionalScaledTradeRate[0] = 0.;
  356.         adblNonDimensionalHoldings[0] = 1.;

  358.         if (null == (aNDC[0] = initializeNonDimensionalCost (aMS[0], dblTradeRateScale))) return null;

  360.         for (int i = 1; i < iNumTimeNode; ++i) {
  361.             if (null == (aNDC[i] = _ndce.evolve (aNDC[i - 1], aMS[i], dblMeanMarketUrgency *
  362.                 dblRelaxationTime, (iNumTimeNode - i) * dblNonDimensionalTimeIncrement,
  363.                     dblNonDimensionalTimeIncrement)))
  364.                 return null;

  366.             adblNonDimensionalScaledTradeRate[i] = adblNonDimensionalHoldings[i - 1] *
  367.                 aNDC[i].nonDimensionalTradeRate();

  369.             adblNonDimensionalHoldings[i] = adblNonDimensionalHoldings[i - 1] -
  370.                 adblNonDimensionalScaledTradeRate[i] * dblNonDimensionalTimeIncrement;
  371.         }

  373.         try {
  374.             return new org.drip.execution.adaptive.CoordinatedVariationDynamic (new
  375.                 org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant (dblExecutionSize,
  376.                     dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize * dblExecutionSize /
  377.                         dblTradeRateScale, dblTradeRateScale, dblMeanMarketUrgency, dblMeanMarketUrgency *
  378.                             dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize /
  379.                                 dblReferenceVolatility * java.lang.Math.pow (_os.maxExecutionTime(), -1.5)),
  380.                                     adblNonDimensionalHoldings, adblNonDimensionalScaledTradeRate, aNDC);
  381.         } catch (java.lang.Exception e) {
  382.             e.printStackTrace();
  383.         }

  385.         return null;
  386.     }

  388.     /**
  389.      * Generate a Static, Non-adaptive Trading Trajectory Instance
  390.      * 
  391.      * @return The Static, Non-adaptive Trading Trajectory Instance
  392.      */

  394.     public org.drip.execution.adaptive.CoordinatedVariationStatic nonAdaptive()
  395.     {
  396.         try {
  397.             return new org.drip.execution.adaptive.CoordinatedVariationStatic (trajectoryDeterminant(),
  398.                 (org.drip.execution.optimum.EfficientTradingTrajectoryContinuous) new
  399.                     org.drip.execution.nonadaptive.ContinuousAlmgrenChriss (_os,
  400.                         org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder.ReferenceCoordinatedVariation
  401.                         (_cv), _mvou).generate());
  402.         } catch (java.lang.Exception e) {
  403.             e.printStackTrace();
  404.         }

  406.         return null;
  407.     }

  409.     /**
  410.      * Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
  411.      * 
  412.      * @param aMS Array of Realized Market States
  413.      * 
  414.      * @return The Continuous Coordinated Variation Rolling Horizon Trajectory
  415.      */

  417.     public org.drip.execution.adaptive.CoordinatedVariationRollingHorizon rollingHorizon (
  418.         final org.drip.execution.latent.MarketState[] aMS)
  419.     {
  420.         if (null == aMS) return null;

  422.         int iNumTimeNode = aMS.length;
  423.         double[] adblNonDimensionalCost = 0 == iNumTimeNode ? null : new double[iNumTimeNode];
  424.         double[] adblNonDimensionalHoldings = 0 == iNumTimeNode ? null : new double[iNumTimeNode];
  425.         double[] adblNonDimensionalTradeRate = 0 == iNumTimeNode ? null : new double[iNumTimeNode];

  427.         if (0 == iNumTimeNode) return null;

  429.         double dblExecutionSize = _os.size();

  431.         double dblRiskAversion = _mvou.riskAversion();

  433.         double dblExecutionTime = _os.maxExecutionTime();

  435.         double dblReferenceLiquidity = _cv.referenceLiquidity();

  437.         double dblReferenceVolatility = _cv.referenceVolatility();

  439.         double dblRelaxationTime = _ndce.ornsteinUnlenbeckProcess().referenceRelaxationTime();

  441.         double dblMeanMarketUrgency = dblReferenceVolatility * java.lang.Math.sqrt (dblRiskAversion /
  442.             dblReferenceLiquidity);

  444.         double dblNonDimensionalTimeIncrement = dblExecutionTime / (iNumTimeNode - 1) / dblRelaxationTime;
  445.         double dblNonDimensionalExecutionTime = dblExecutionTime / dblRelaxationTime;
  446.         double dblTradeRateScale = dblExecutionSize / dblRelaxationTime;
  447.         adblNonDimensionalTradeRate[iNumTimeNode - 1] = 0.;
  448.         adblNonDimensionalHoldings[0] = 1.;
  449.         adblNonDimensionalCost[0] = 0.;

  451.         for (int i = 0; i < iNumTimeNode - 1; ++i) {
  452.             org.drip.execution.dynamics.LinearPermanentExpectationParameters lpep = realizedLPEP
  453.                 (aMS[i].liquidity());

  455.             if (null == lpep) return null;

  457.             try {
  458.                 double dblRealizedVolatility = lpep.arithmeticPriceDynamicsSettings().epochVolatility();

  460.                 org.drip.execution.strategy.ContinuousTradingTrajectory ctt =
  461.                     (org.drip.execution.strategy.ContinuousTradingTrajectory) new
  462.                         org.drip.execution.nonadaptive.ContinuousAlmgrenChriss (new
  463.                             org.drip.execution.strategy.OrderSpecification (adblNonDimensionalHoldings[i],
  464.                                 dblNonDimensionalExecutionTime - i * dblNonDimensionalTimeIncrement), lpep,
  465.                                     _mvou).generate();

  467.                 if (null == ctt) return null;

  469.                 adblNonDimensionalTradeRate[i] = ctt.tradeRate().evaluate (0.);

  471.                 adblNonDimensionalHoldings[i + 1] = adblNonDimensionalHoldings[i] -
  472.                     adblNonDimensionalTradeRate[i] * dblNonDimensionalTimeIncrement;
  473.                 adblNonDimensionalCost[i + 1] = adblNonDimensionalCost[i] + (dblRiskAversion *
  474.                     dblRealizedVolatility * dblRealizedVolatility * adblNonDimensionalHoldings[i] *
  475.                         adblNonDimensionalHoldings[i] +
  476.                             lpep.linearPermanentExpectation().epochLiquidityFunction().slope() *
  477.                                 adblNonDimensionalTradeRate[i] * adblNonDimensionalTradeRate[i]) *
  478.                                     dblNonDimensionalTimeIncrement;
  479.             } catch (java.lang.Exception e) {
  480.                 e.printStackTrace();

  482.                 return null;
  483.             }
  484.         }

  486.         try {
  487.             return new org.drip.execution.adaptive.CoordinatedVariationRollingHorizon (new
  488.                 org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant (dblExecutionSize,
  489.                     dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize * dblExecutionSize /
  490.                         dblTradeRateScale, dblTradeRateScale, dblMeanMarketUrgency, dblMeanMarketUrgency *
  491.                             dblRelaxationTime, dblReferenceLiquidity * dblExecutionSize /
  492.                                 dblReferenceVolatility * java.lang.Math.pow (_os.maxExecutionTime(), -1.5)),
  493.                                     adblNonDimensionalHoldings, adblNonDimensionalTradeRate,
  494.                                         adblNonDimensionalCost);
  495.         } catch (java.lang.Exception e) {
  496.             e.printStackTrace();
  497.         }

  499.         return null;
  500.     }
  501. }
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