TransactionRealization.java
package org.drip.execution.athl;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>TransactionRealization</i> holds the Suite of Empirical Drift/Wander Signals that have been emitted off
* of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the
* Parameterization of Almgren (2003). The References are:
*
* <br><br>
* <ul>
* <li>
* Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
* </li>
* <li>
* Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of Risk</i>
* <b>3 (2)</b> 5-39
* </li>
* <li>
* Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
* <i>Applied Mathematical Finance</i> <b>10 (1)</b> 1-18
* </li>
* <li>
* Almgren, R., and N. Chriss (2003): Bidding Principles <i>Risk</i> 97-102
* </li>
* <li>
* Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact <i>Risk</i> <b>18 (7)</b>
* 57-62
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class TransactionRealization {
private double _dblT = java.lang.Double.NaN;
private double _dblX = java.lang.Double.NaN;
private double _dblTPost = java.lang.Double.NaN;
private double _dblTSQRT = java.lang.Double.NaN;
private double _dblVolatility = java.lang.Double.NaN;
private org.drip.execution.impact.TransactionFunction _tfPermanent = null;
private org.drip.execution.impact.TransactionFunction _tfTemporary = null;
/**
* TransactionRealization Constructor
*
* @param tfPermanent The Permanent Market Impact Transaction Function
* @param tfTemporary The Temporary Market Impact Transaction Function
* @param dblVolatility The Asset Daily Volatility
* @param dblX The Transaction Amount
* @param dblT The Transaction Completion Time in Days
* @param dblTPost The Transaction Completion Time in Days Adjusted for the Permanent Lag
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public TransactionRealization (
final org.drip.execution.impact.TransactionFunction tfPermanent,
final org.drip.execution.impact.TransactionFunction tfTemporary,
final double dblVolatility,
final double dblX,
final double dblT,
final double dblTPost)
throws java.lang.Exception
{
if (null == (_tfPermanent = tfPermanent) || null == (_tfTemporary = tfTemporary) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblVolatility = dblVolatility) || 0. > _dblVolatility
|| !org.drip.numerical.common.NumberUtil.IsValid (_dblX = dblX) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblT = dblT) || 0. > _dblT ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblTPost = dblTPost) || _dblT >=
_dblTPost)
throw new java.lang.Exception ("TransactionRealization Constructor => Invalid Inputs");
_dblTSQRT = java.lang.Math.sqrt (_dblT);
}
/**
* Retrieve the Permanent Market Impact Transaction Function
*
* @return The Permanent Market Impact Transaction Function
*/
public org.drip.execution.impact.TransactionFunction permanentMarketImpactFunction()
{
return _tfPermanent;
}
/**
* Retrieve the Temporary Market Impact Transaction Function
*
* @return The Temporary Market Impact Transaction Function
*/
public org.drip.execution.impact.TransactionFunction temporaryMarketImpactFunction()
{
return _tfTemporary;
}
/**
* Retrieve the Asset Daily Volatility
*
* @return The Asset Daily Volatility
*/
public double volatility()
{
return _dblVolatility;
}
/**
* Retrieve the Transaction Amount X
*
* @return The Transaction Amount X
*/
public double x()
{
return _dblX;
}
/**
* Retrieve the Transaction Completion Time T in Days
*
* @return The Transaction Completion Time T in Days
*/
public double t()
{
return _dblT;
}
/**
* Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
*
* @return The Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
*/
public double tPost()
{
return _dblTPost;
}
/**
* Emit the IJK Signal
*
* @param dblIRandom The Random "I" Instance
* @param dblJRandom The Random "J" Instance
*
* @return The IJK Signal Instance
*/
public org.drip.execution.athl.IJK emitSignal (
final double dblIRandom,
final double dblJRandom)
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblIRandom) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblJRandom))
return null;
try {
return new org.drip.execution.athl.IJK (new org.drip.execution.athl.TransactionSignal
(_tfPermanent.evaluate (_dblX, _dblT), _dblVolatility * _dblTSQRT * dblIRandom, 0.), new
org.drip.execution.athl.TransactionSignal (_tfTemporary.evaluate (_dblX, _dblT),
_dblVolatility * java.lang.Math.sqrt (_dblT / 12. * (4. - (3. * _dblT / _dblTPost)))
* dblJRandom, 0.5 * (_dblTPost - _dblT) / _dblTSQRT * dblIRandom));
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}