TrajectoryShortfallEstimator.java

  1. package org.drip.execution.capture;

  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>TrajectoryShortfallEstimator</i> estimates the Price/Short Fall Distribution associated with the
  82.  * Trading Trajectory generated using the specified Evolution Parameters. The References are:
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li>
  87.  *          Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  91.  *              Risk</i> <b>3 (2)</b> 5-39
  92.  *      </li>
  93.  *      <li>
  94.  *          Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
  95.  *              Markets</i> <b>1</b> 1-50
  96.  *      </li>
  97.  *      <li>
  98.  *          Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional
  99.  *              Trades <i>Journal of Finance</i> <b>50</b> 1147-1174
  100.  *      </li>
  101.  *      <li>
  102.  *          Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange
  103.  *              Analysis of Institutional Equity Trades <i>Journal of Financial Economics</i> <b>46</b>
  104.  *              265-292
  105.  *      </li>
  106.  *  </ul>
  107.  *
  108.  *  <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  112.  *      <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>
  113.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/capture/README.md">Execution Trajectory Transaction Cost Capture</a></li>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class TrajectoryShortfallEstimator implements
  120.     org.drip.execution.sensitivity.ControlNodesGreekGenerator {
  121.     private org.drip.execution.strategy.DiscreteTradingTrajectory _tt = null;

  123.     /**
  124.      * TrajectoryShortfallEstimator Constructor
  125.      * 
  126.      * @param tt The Trading Trajectory Instance
  127.      *  
  128.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  129.      */

  131.     public TrajectoryShortfallEstimator (
  132.         final org.drip.execution.strategy.DiscreteTradingTrajectory tt)
  133.         throws java.lang.Exception
  134.     {
  135.         if (null == (_tt = tt))
  136.             throw new java.lang.Exception ("TrajectoryShortfallEstimator Constructor => Invalid Inputs");
  137.     }

  139.     /**
  140.      * Retrieve the Underlying Trading Trajectory Instance
  141.      * 
  142.      * @return The Underlying Trading Trajectory Instance
  143.      */

  145.     public org.drip.execution.strategy.DiscreteTradingTrajectory trajectory()
  146.     {
  147.         return _tt;
  148.     }

  150.     /**
  151.      * Generate the Detailed Cost Realization Sequence given the Specified Inputs
  152.      * 
  153.      * @param dblStartingEquilibriumPrice The Starting Equilibrium Price
  154.      * @param aWS Array of the Realized Walk Random Variable Suite
  155.      * @param apep The Price Evolution Parameters
  156.      * 
  157.      * @return The Detailed Cost Realization Sequence given the Specified Inputs
  158.      */

  160.     public org.drip.execution.capture.TrajectoryShortfallRealization totalCostRealizationDetail (
  161.         final double dblStartingEquilibriumPrice,
  162.         final org.drip.execution.dynamics.WalkSuite[] aWS,
  163.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  164.     {
  165.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblStartingEquilibriumPrice) || null == aWS)
  166.             return null;

  168.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  170.         double[] adblHoldings = _tt.holdings();

  172.         int iNumTimeNode = adblExecutionTimeNode.length;
  173.         double dblPreviousEquilibriumPrice = dblStartingEquilibriumPrice;

  175.         if (aWS.length + 1 != iNumTimeNode) return null;

  177.         java.util.List<org.drip.execution.discrete.ShortfallIncrement> lsSI = new
  178.             java.util.ArrayList<org.drip.execution.discrete.ShortfallIncrement>();

  180.         for (int i = 1; i < iNumTimeNode; ++i) {
  181.             org.drip.execution.discrete.ShortfallIncrement si = null;

  183.             try {
  184.                 si = ( new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  185.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1])).costIncrementRealization
  186.                         (dblPreviousEquilibriumPrice, aWS[i - 1], apep);
  187.             } catch (java.lang.Exception e) {
  188.                 e.printStackTrace();

  190.                 return null;
  191.             }

  193.             if (null == si) return null;

  195.             lsSI.add (si);

  197.             dblPreviousEquilibriumPrice = si.compositePriceIncrement().newEquilibriumPrice();
  198.         }

  200.         try {
  201.             return new org.drip.execution.capture.TrajectoryShortfallRealization (lsSI);
  202.         } catch (java.lang.Exception e) {
  203.             e.printStackTrace();
  204.         }

  206.         return null;
  207.     }

  209.     /**
  210.      * Generate the Detailed Total Cost Distribution for the Trading Trajectory
  211.      * 
  212.      * @param apep The Price Evolution Parameters
  213.      * 
  214.      * @return The Detailed Total Cost Distribution for the Trading Trajectory
  215.      */

  217.     public org.drip.execution.capture.TrajectoryShortfallAggregate totalCostDistributionDetail (
  218.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  219.     {
  220.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  222.         double[] adblHoldings = _tt.holdings();

  224.         int iNumTimeNode = adblExecutionTimeNode.length;

  226.         java.util.List<org.drip.execution.discrete.ShortfallIncrementDistribution> lsSID = new
  227.             java.util.ArrayList<org.drip.execution.discrete.ShortfallIncrementDistribution>();

  229.         for (int i = 1; i < iNumTimeNode; ++i) {
  230.             org.drip.execution.discrete.Slice s = null;

  232.             try {
  233.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  234.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  235.             } catch (java.lang.Exception e) {
  236.                 e.printStackTrace();

  238.                 return null;
  239.             }

  241.             lsSID.add (s.costIncrementDistribution (apep));
  242.         }

  244.         try {
  245.             return new org.drip.execution.capture.TrajectoryShortfallAggregate (lsSID);
  246.         } catch (java.lang.Exception e) {
  247.             e.printStackTrace();
  248.         }

  250.         return null;
  251.     }

  253.     /**
  254.      * Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory
  255.      * 
  256.      * @param apep Arithmetic Price Evolution Parameters Instance
  257.      * 
  258.      * @return The Total Cost Distribution Synopsis Distribution for the Trading Trajectory
  259.      */

  261.     public org.drip.measure.gaussian.R1UnivariateNormal totalCostDistributionSynopsis (
  262.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  263.     {
  264.         org.drip.execution.capture.TrajectoryShortfallAggregate tsa = totalCostDistributionDetail (apep);

  266.         return null == tsa ? null : tsa.totalCostDistribution();
  267.     }

  269.     @Override public org.drip.execution.sensitivity.ControlNodesGreek permanentImpactExpectation (
  270.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  271.     {
  272.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  274.         double dblValue = 0.;
  275.         int iNumTimeNode = adblExecutionTimeNode.length;
  276.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  277.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  279.         double[] adblHoldings = _tt.holdings();

  281.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  282.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  284.         for (int i = 1; i < iNumTimeNode; ++i) {
  285.             org.drip.execution.discrete.Slice s = null;

  287.             try {
  288.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  289.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  290.             } catch (java.lang.Exception e) {
  291.                 e.printStackTrace();

  293.                 return null;
  294.             }

  296.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.permanentImpactExpectation (apep);

  298.             if (null == cng) return null;

  300.             lsCNG.add (cng);

  302.             dblValue = dblValue + cng.value();

  304.             double[] adblSliceJacobian = cng.jacobian();

  306.             double[][] aadblSliceHessian = cng.hessian();

  308.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  309.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  310.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  311.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  312.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  313.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  314.                 aadblSliceHessian[0][0];
  315.         }

  317.         try {
  318.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  319.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  320.         } catch (java.lang.Exception e) {
  321.             e.printStackTrace();
  322.         }

  324.         return null;
  325.     }

  327.     @Override public org.drip.execution.sensitivity.ControlNodesGreek permanentImpactVariance (
  328.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  329.     {
  330.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  332.         double dblValue = 0.;
  333.         int iNumTimeNode = adblExecutionTimeNode.length;
  334.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  335.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  337.         double[] adblHoldings = _tt.holdings();

  339.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  340.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  342.         for (int i = 1; i < iNumTimeNode; ++i) {
  343.             org.drip.execution.discrete.Slice s = null;

  345.             try {
  346.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  347.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  348.             } catch (java.lang.Exception e) {
  349.                 e.printStackTrace();

  351.                 return null;
  352.             }

  354.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.permanentImpactVariance (apep);

  356.             if (null == cng) return null;

  358.             lsCNG.add (cng);

  360.             dblValue = dblValue + cng.value();

  362.             double[] adblSliceJacobian = cng.jacobian();

  364.             double[][] aadblSliceHessian = cng.hessian();

  366.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  367.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  368.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  369.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  370.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  371.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  372.                 aadblSliceHessian[0][0];
  373.         }

  375.         try {
  376.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  377.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  378.         } catch (java.lang.Exception e) {
  379.             e.printStackTrace();
  380.         }

  382.         return null;
  383.     }

  385.     @Override public org.drip.execution.sensitivity.ControlNodesGreek temporaryImpactExpectation (
  386.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  387.     {
  388.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  390.         double dblValue = 0.;
  391.         int iNumTimeNode = adblExecutionTimeNode.length;
  392.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  393.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  395.         double[] adblHoldings = _tt.holdings();

  397.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  398.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  400.         for (int i = 1; i < iNumTimeNode; ++i) {
  401.             org.drip.execution.discrete.Slice s = null;

  403.             try {
  404.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  405.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  406.             } catch (java.lang.Exception e) {
  407.                 e.printStackTrace();

  409.                 return null;
  410.             }

  412.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.temporaryImpactExpectation (apep);

  414.             if (null == cng) return null;

  416.             lsCNG.add (cng);

  418.             dblValue = dblValue + cng.value();

  420.             double[] adblSliceJacobian = cng.jacobian();

  422.             double[][] aadblSliceHessian = cng.hessian();

  424.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  425.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  426.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  427.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  428.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  429.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  430.                 aadblSliceHessian[0][0];
  431.         }

  433.         try {
  434.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  435.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  436.         } catch (java.lang.Exception e) {
  437.             e.printStackTrace();
  438.         }

  440.         return null;
  441.     }

  443.     @Override public org.drip.execution.sensitivity.ControlNodesGreek temporaryImpactVariance (
  444.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  445.     {
  446.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  448.         double dblValue = 0.;
  449.         int iNumTimeNode = adblExecutionTimeNode.length;
  450.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  451.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  453.         double[] adblHoldings = _tt.holdings();

  455.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  456.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  458.         for (int i = 1; i < iNumTimeNode; ++i) {
  459.             org.drip.execution.discrete.Slice s = null;

  461.             try {
  462.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  463.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  464.             } catch (java.lang.Exception e) {
  465.                 e.printStackTrace();

  467.                 return null;
  468.             }

  470.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.temporaryImpactVariance (apep);

  472.             if (null == cng) return null;

  474.             lsCNG.add (cng);

  476.             dblValue = dblValue + cng.value();

  478.             double[] adblSliceJacobian = cng.jacobian();

  480.             double[][] aadblSliceHessian = cng.hessian();

  482.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  483.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  484.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  485.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  486.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  487.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  488.                 aadblSliceHessian[0][0];
  489.         }

  491.         try {
  492.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  493.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  494.         } catch (java.lang.Exception e) {
  495.             e.printStackTrace();
  496.         }

  498.         return null;
  499.     }

  501.     @Override public org.drip.execution.sensitivity.ControlNodesGreek marketDynamicsExpectation (
  502.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  503.     {
  504.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  506.         double dblValue = 0.;
  507.         int iNumTimeNode = adblExecutionTimeNode.length;
  508.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  509.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  511.         double[] adblHoldings = _tt.holdings();

  513.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  514.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  516.         for (int i = 1; i < iNumTimeNode; ++i) {
  517.             org.drip.execution.discrete.Slice s = null;

  519.             try {
  520.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  521.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  522.             } catch (java.lang.Exception e) {
  523.                 e.printStackTrace();

  525.                 return null;
  526.             }

  528.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.marketDynamicsExpectation (apep);

  530.             if (null == cng) return null;

  532.             lsCNG.add (cng);

  534.             dblValue = dblValue + cng.value();

  536.             double[] adblSliceJacobian = cng.jacobian();

  538.             double[][] aadblSliceHessian = cng.hessian();

  540.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  541.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  542.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  543.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  544.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  545.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  546.                 aadblSliceHessian[0][0];
  547.         }

  549.         try {
  550.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  551.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  552.         } catch (java.lang.Exception e) {
  553.             e.printStackTrace();
  554.         }

  556.         return null;
  557.     }

  559.     @Override public org.drip.execution.sensitivity.ControlNodesGreek marketDynamicsVariance (
  560.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  561.     {
  562.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  564.         double dblValue = 0.;
  565.         int iNumTimeNode = adblExecutionTimeNode.length;
  566.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  567.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  569.         double[] adblHoldings = _tt.holdings();

  571.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  572.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  574.         for (int i = 1; i < iNumTimeNode; ++i) {
  575.             org.drip.execution.discrete.Slice s = null;

  577.             try {
  578.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  579.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  580.             } catch (java.lang.Exception e) {
  581.                 e.printStackTrace();

  583.                 return null;
  584.             }

  586.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.marketDynamicsVariance (apep);

  588.             if (null == cng) return null;

  590.             lsCNG.add (cng);

  592.             dblValue = dblValue + cng.value();

  594.             double[] adblSliceJacobian = cng.jacobian();

  596.             double[][] aadblSliceHessian = cng.hessian();

  598.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  599.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  600.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  601.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  602.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  603.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  604.                 aadblSliceHessian[0][0];
  605.         }

  607.         try {
  608.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  609.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  610.         } catch (java.lang.Exception e) {
  611.             e.printStackTrace();
  612.         }

  614.         return null;
  615.     }

  617.     @Override public org.drip.execution.sensitivity.ControlNodesGreek expectationContribution (
  618.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  619.     {
  620.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  622.         double dblValue = 0.;
  623.         int iNumTimeNode = adblExecutionTimeNode.length;
  624.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  625.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  627.         double[] adblHoldings = _tt.holdings();

  629.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  630.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  632.         for (int i = 1; i < iNumTimeNode; ++i) {
  633.             org.drip.execution.discrete.Slice s = null;

  635.             try {
  636.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  637.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  638.             } catch (java.lang.Exception e) {
  639.                 e.printStackTrace();

  641.                 return null;
  642.             }

  644.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.expectationContribution (apep);

  646.             if (null == cng) return null;

  648.             lsCNG.add (cng);

  650.             dblValue = dblValue + cng.value();

  652.             double[] adblSliceJacobian = cng.jacobian();

  654.             double[][] aadblSliceHessian = cng.hessian();

  656.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  657.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  658.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  659.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  660.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  661.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  662.                 aadblSliceHessian[0][0];
  663.         }

  665.         try {
  666.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  667.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  668.         } catch (java.lang.Exception e) {
  669.             e.printStackTrace();
  670.         }

  672.         return null;
  673.     }

  675.     @Override public org.drip.execution.sensitivity.ControlNodesGreek varianceContribution (
  676.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  677.     {
  678.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  680.         double dblValue = 0.;
  681.         int iNumTimeNode = adblExecutionTimeNode.length;
  682.         double[] adblTrajectoryJacobian = new double[iNumTimeNode];
  683.         double[][] aadblTrajectoryHessian = new double[iNumTimeNode][iNumTimeNode];

  685.         double[] adblHoldings = _tt.holdings();

  687.         java.util.List<org.drip.execution.sensitivity.ControlNodesGreek> lsCNG = new
  688.             java.util.ArrayList<org.drip.execution.sensitivity.ControlNodesGreek>();

  690.         for (int i = 1; i < iNumTimeNode; ++i) {
  691.             org.drip.execution.discrete.Slice s = null;

  693.             try {
  694.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  695.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  696.             } catch (java.lang.Exception e) {
  697.                 e.printStackTrace();

  699.                 return null;
  700.             }

  702.             org.drip.execution.sensitivity.ControlNodesGreek cng = s.varianceContribution (apep);

  704.             if (null == cng) return null;

  706.             lsCNG.add (cng);

  708.             dblValue = dblValue + cng.value();

  710.             double[] adblSliceJacobian = cng.jacobian();

  712.             double[][] aadblSliceHessian = cng.hessian();

  714.             adblTrajectoryJacobian[i] = adblTrajectoryJacobian[i] + adblSliceJacobian[1];
  715.             adblTrajectoryJacobian[i - 1] = adblTrajectoryJacobian[i - 1] + adblSliceJacobian[0];
  716.             aadblTrajectoryHessian[i][i] = aadblTrajectoryHessian[i][i] + aadblSliceHessian[1][1];
  717.             aadblTrajectoryHessian[i][i - 1] = aadblTrajectoryHessian[i][i - 1] + aadblSliceHessian[1][0];
  718.             aadblTrajectoryHessian[i - 1][i] = aadblTrajectoryHessian[i - 1][i] + aadblSliceHessian[0][1];
  719.             aadblTrajectoryHessian[i - 1][i - 1] = aadblTrajectoryHessian[i - 1][i - 1] +
  720.                 aadblSliceHessian[0][0];
  721.         }

  723.         try {
  724.             return new org.drip.execution.sensitivity.TrajectoryControlNodesGreek (dblValue,
  725.                 adblTrajectoryJacobian, aadblTrajectoryHessian, lsCNG);
  726.         } catch (java.lang.Exception e) {
  727.             e.printStackTrace();
  728.         }

  730.         return null;
  731.     }

  733.     /**
  734.      * Estimate the Optimal Adjustment Attributable to the Serial Correlation
  735.      *  
  736.      * @param apep The Arithmetic Price Walk Parameters
  737.      * 
  738.      * @return The Optimal Adjustment Attributable to the Serial Correlation
  739.      */

  741.     public org.drip.execution.discrete.OptimalSerialCorrelationAdjustment[] serialCorrelationAdjustment (
  742.         final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
  743.     {
  744.         double[] adblExecutionTimeNode = _tt.executionTimeNode();

  746.         int iNumTimeNode = adblExecutionTimeNode.length;
  747.         org.drip.execution.discrete.OptimalSerialCorrelationAdjustment[] aOSCA = new
  748.             org.drip.execution.discrete.OptimalSerialCorrelationAdjustment[iNumTimeNode];

  750.         double[] adblHoldings = _tt.holdings();

  752.         try {
  753.             aOSCA[0] = new org.drip.execution.discrete.OptimalSerialCorrelationAdjustment (0., 0.);
  754.         } catch (java.lang.Exception e) {
  755.             e.printStackTrace();

  757.             return null;
  758.         }

  760.         for (int i = 1; i < iNumTimeNode; ++i) {
  761.             org.drip.execution.discrete.Slice s = null;

  763.             try {
  764.                 s = new org.drip.execution.discrete.Slice (adblHoldings[i - 1], adblHoldings[i],
  765.                     adblExecutionTimeNode[i] - adblExecutionTimeNode[i - 1]);
  766.             } catch (java.lang.Exception e) {
  767.                 e.printStackTrace();

  769.                 return null;
  770.             }

  772.             if (null == (aOSCA[i] = s.serialCorrelationAdjustment (apep))) return null;
  773.         }

  775.         return aOSCA;
  776.     }
  777. }
Created with JaCoCo 0.7.9.201702052155