TransactionRealization.java

  1. package org.drip.execution.athl;

  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>TransactionRealization</i> holds the Suite of Empirical Drift/Wander Signals that have been emitted off
  82.  * of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the
  83.  * Parameterization of Almgren (2003). The References are:
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *  <li>
  88.  *      Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
  89.  *  </li>
  90.  *  <li>
  91.  *      Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of Risk</i>
  92.  *          <b>3 (2)</b> 5-39
  93.  *  </li>
  94.  *  <li>
  95.  *      Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
  96.  *          <i>Applied Mathematical Finance</i> <b>10 (1)</b> 1-18
  97.  *  </li>
  98.  *  <li>
  99.  *      Almgren, R., and N. Chriss (2003): Bidding Principles <i>Risk</i> 97-102
  100.  *  </li>
  101.  *  <li>
  102.  *      Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact <i>Risk</i> <b>18 (7)</b>
  103.  *          57-62
  104.  *  </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  111.  *      <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>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/athl/README.md">Almgren-Thum-Hauptmann-Li Calibration</a></li>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class TransactionRealization {
  119.     private double _dblT = java.lang.Double.NaN;
  120.     private double _dblX = java.lang.Double.NaN;
  121.     private double _dblTPost = java.lang.Double.NaN;
  122.     private double _dblTSQRT = java.lang.Double.NaN;
  123.     private double _dblVolatility = java.lang.Double.NaN;
  124.     private org.drip.execution.impact.TransactionFunction _tfPermanent = null;
  125.     private org.drip.execution.impact.TransactionFunction _tfTemporary = null;

  127.     /**
  128.      * TransactionRealization Constructor
  129.      * 
  130.      * @param tfPermanent The Permanent Market Impact Transaction Function
  131.      * @param tfTemporary The Temporary Market Impact Transaction Function
  132.      * @param dblVolatility The Asset Daily Volatility
  133.      * @param dblX The Transaction Amount
  134.      * @param dblT The Transaction Completion Time in Days
  135.      * @param dblTPost The Transaction Completion Time in Days Adjusted for the Permanent Lag
  136.      * 
  137.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  138.      */

  140.     public TransactionRealization (
  141.         final org.drip.execution.impact.TransactionFunction tfPermanent,
  142.         final org.drip.execution.impact.TransactionFunction tfTemporary,
  143.         final double dblVolatility,
  144.         final double dblX,
  145.         final double dblT,
  146.         final double dblTPost)
  147.         throws java.lang.Exception
  148.     {
  149.         if (null == (_tfPermanent = tfPermanent) || null == (_tfTemporary = tfTemporary) ||
  150.             !org.drip.numerical.common.NumberUtil.IsValid (_dblVolatility = dblVolatility) || 0. > _dblVolatility
  151.                 || !org.drip.numerical.common.NumberUtil.IsValid (_dblX = dblX) ||
  152.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblT = dblT) || 0. > _dblT ||
  153.                         !org.drip.numerical.common.NumberUtil.IsValid (_dblTPost = dblTPost) || _dblT >=
  154.                             _dblTPost)
  155.             throw new java.lang.Exception  ("TransactionRealization Constructor => Invalid Inputs");

  157.         _dblTSQRT = java.lang.Math.sqrt (_dblT);
  158.     }

  160.     /**
  161.      * Retrieve the Permanent Market Impact Transaction Function
  162.      * 
  163.      * @return The Permanent Market Impact Transaction Function
  164.      */

  166.     public org.drip.execution.impact.TransactionFunction permanentMarketImpactFunction()
  167.     {
  168.         return _tfPermanent;
  169.     }

  171.     /**
  172.      * Retrieve the Temporary Market Impact Transaction Function
  173.      * 
  174.      * @return The Temporary Market Impact Transaction Function
  175.      */

  177.     public org.drip.execution.impact.TransactionFunction temporaryMarketImpactFunction()
  178.     {
  179.         return _tfTemporary;
  180.     }

  182.     /**
  183.      * Retrieve the Asset Daily Volatility
  184.      * 
  185.      * @return The Asset Daily Volatility
  186.      */

  188.     public double volatility()
  189.     {
  190.         return _dblVolatility;
  191.     }

  193.     /**
  194.      * Retrieve the Transaction Amount X
  195.      * 
  196.      * @return The Transaction Amount X
  197.      */

  199.     public double x()
  200.     {
  201.         return _dblX;
  202.     }

  204.     /**
  205.      * Retrieve the Transaction Completion Time T in Days
  206.      * 
  207.      * @return The Transaction Completion Time T in Days
  208.      */

  210.     public double t()
  211.     {
  212.         return _dblT;
  213.     }

  215.     /**
  216.      * Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
  217.      * 
  218.      * @return The Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
  219.      */

  221.     public double tPost()
  222.     {
  223.         return _dblTPost;
  224.     }

  226.     /**
  227.      * Emit the IJK Signal
  228.      * 
  229.      * @param dblIRandom The Random "I" Instance
  230.      * @param dblJRandom The Random "J" Instance
  231.      * 
  232.      * @return The IJK Signal Instance
  233.      */

  235.     public org.drip.execution.athl.IJK emitSignal (
  236.         final double dblIRandom,
  237.         final double dblJRandom)
  238.     {
  239.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblIRandom) ||
  240.             !org.drip.numerical.common.NumberUtil.IsValid (dblJRandom))
  241.             return null;

  243.         try {
  244.             return new org.drip.execution.athl.IJK (new org.drip.execution.athl.TransactionSignal
  245.                 (_tfPermanent.evaluate (_dblX, _dblT), _dblVolatility * _dblTSQRT * dblIRandom, 0.), new
  246.                     org.drip.execution.athl.TransactionSignal (_tfTemporary.evaluate (_dblX, _dblT),
  247.                         _dblVolatility * java.lang.Math.sqrt (_dblT / 12. * (4. - (3. * _dblT / _dblTPost)))
  248.                             * dblJRandom, 0.5 * (_dblTPost - _dblT) / _dblTSQRT * dblIRandom));
  249.         } catch (java.lang.Exception e) {
  250.             e.printStackTrace();
  251.         }

  253.         return null;
  254.     }
  255. }
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