TrajectoryShortfallRealization.java

package org.drip.execution.capture;

/*
 * -*- 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>TrajectoryShortfallRealization</i> holds Execution Cost Realization across each Interval in the Trade
 * during a Single Simulation Run. 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>
 *          Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
 *              Markets</i> <b>1</b> 1-50
 *      </li>
 *      <li>
 *          Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional
 *              Trades <i>Journal of Finance</i> <b>50</b> 1147-1174
 *      </li>
 *      <li>
 *          Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange
 *              Analysis of Institutional Equity Trades <i>Journal of Financial Economics</i> <b>46</b>
 *              265-292
 *      </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/capture/README.md">Execution Trajectory Transaction Cost Capture</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class TrajectoryShortfallRealization {
    private java.util.List<org.drip.execution.discrete.ShortfallIncrement> _lsSI = null;

    /**
     * TrajectoryShortfallRealization Constructor
     * 
     * @param lsSI List of the Composite Slice Short-fall Increments
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public TrajectoryShortfallRealization (
        final java.util.List<org.drip.execution.discrete.ShortfallIncrement> lsSI)
        throws java.lang.Exception
    {
        if (null == (_lsSI = lsSI))
            throw new java.lang.Exception ("TrajectoryShortfallRealization Constructor => Invalid Inputs");

        int iNumSlice = _lsSI.size();

        if (0 == iNumSlice)
            throw new java.lang.Exception ("TrajectoryShortfallRealization Constructor => Invalid Inputs");

        for (org.drip.execution.discrete.ShortfallIncrement si : _lsSI) {
            if (null == si)
                throw new java.lang.Exception
                    ("TrajectoryShortfallRealization Constructor => Invalid Inputs");
        }
    }

    /**
     * Retrieve the List of the Realized Composite Cost Increments
     * 
     * @return The List of the Realized Composite Cost Increments
     */

    public java.util.List<org.drip.execution.discrete.ShortfallIncrement> list()
    {
        return _lsSI;
    }

    /**
     * Generate the Array of Incremental Market Dynamic Cost Drift
     * 
     * @return The Array of Incremental Market Dynamic Cost Drift
     */

    public double[] incrementalMarketDynamicDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalMarketDynamicDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalMarketDynamicDrift[i] = _lsSI.get (i).marketDynamicDrift();

        return adblIncrementalMarketDynamicDrift;
    }

    /**
     * Generate the Array of Cumulative Market Dynamic Cost Drift
     * 
     * @return The Array of Cumulative Market Dynamic Cost Drift
     */

    public double[] cumulativeMarketDynamicDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativeMarketDynamicDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativeMarketDynamicDrift[i] = 0 == i ? _lsSI.get (i).marketDynamicDrift() : _lsSI.get
                (i).marketDynamicDrift() + adblCumulativeMarketDynamicDrift[i - 1];

        return adblCumulativeMarketDynamicDrift;
    }

    /**
     * Generate the Total Market Dynamic Cost Drift
     * 
     * @return The Total Market Dynamic Cost Drift
     */

    public double totalMarketDynamicDrift()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalMarketDynamicDrift = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalMarketDynamicDrift = dblTotalMarketDynamicDrift + _lsSI.get (i).marketDynamicDrift();

        return dblTotalMarketDynamicDrift;
    }

    /**
     * Generate the Array of Incremental Market Dynamic Cost Wander
     * 
     * @return The Array of Incremental Market Dynamic Cost Wander
     */

    public double[] incrementalMarketDynamicWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalMarketDynamicWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalMarketDynamicWander[i] = _lsSI.get (i).marketDynamicWander();

        return adblIncrementalMarketDynamicWander;
    }

    /**
     * Generate the Array of Cumulative Market Dynamic Cost Wander
     * 
     * @return The Array of Cumulative Market Dynamic Cost Wander
     */

    public double[] cumulativeMarketDynamicWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativeMarketDynamicWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativeMarketDynamicWander[i] = 0 == i ? _lsSI.get (i).marketDynamicWander() : _lsSI.get
                (i).marketDynamicWander() + adblCumulativeMarketDynamicWander[i - 1];

        return adblCumulativeMarketDynamicWander;
    }

    /**
     * Generate the Total Market Dynamic Cost Wander
     * 
     * @return The Total Market Dynamic Cost Wander
     */

    public double totalMarketDynamicWander()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalMarketDynamicWander = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalMarketDynamicWander = dblTotalMarketDynamicWander + _lsSI.get (i).marketDynamicWander();

        return dblTotalMarketDynamicWander;
    }

    /**
     * Generate the Array of Incremental Permanent Cost Drift
     * 
     * @return The Array of Incremental Permanent Cost Drift
     */

    public double[] incrementalPermanentDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalPermanentDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalPermanentDrift[i] = _lsSI.get (i).permanentImpactDrift();

        return adblIncrementalPermanentDrift;
    }

    /**
     * Generate the Array of Cumulative Permanent Cost Drift
     * 
     * @return The Array of Cumulative Permanent Cost Drift
     */

    public double[] cumulativePermanentDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativePermanentDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativePermanentDrift[i] = 0 == i ? _lsSI.get (i).permanentImpactDrift() : _lsSI.get
                (i).permanentImpactDrift() + adblCumulativePermanentDrift[i - 1];

        return adblCumulativePermanentDrift;
    }

    /**
     * Generate the Total Permanent Cost Drift
     * 
     * @return The Total Permanent Cost Drift
     */

    public double totalPermanentDrift()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalPermanentDrift = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalPermanentDrift = dblTotalPermanentDrift + _lsSI.get (i).permanentImpactDrift();

        return dblTotalPermanentDrift;
    }

    /**
     * Generate the Array of Incremental Permanent Cost Wander
     * 
     * @return The Array of Incremental Permanent Cost Wander
     */

    public double[] incrementalPermanentWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalPermanentWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalPermanentWander[i] = _lsSI.get (i).permanentImpactWander();

        return adblIncrementalPermanentWander;
    }

    /**
     * Generate the Array of Cumulative Permanent Cost Wander
     * 
     * @return The Array of Cumulative Permanent Cost Wander
     */

    public double[] cumulativePermanentWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativePermanentWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativePermanentWander[i] = 0 == i ? _lsSI.get (i).permanentImpactWander() : _lsSI.get
                (i).permanentImpactWander() + adblCumulativePermanentWander[i - 1];

        return adblCumulativePermanentWander;
    }

    /**
     * Generate the Total Permanent Cost Wander
     * 
     * @return The Total Permanent Cost Wander
     */

    public double totalPermanentWander()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalPermanentWander = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalPermanentWander = dblTotalPermanentWander + _lsSI.get (i).permanentImpactWander();

        return dblTotalPermanentWander;
    }

    /**
     * Generate the Array of Incremental Temporary Cost Drift
     * 
     * @return The Array of Incremental Temporary Cost Drift
     */

    public double[] incrementalTemporaryDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalTemporaryDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalTemporaryDrift[i] = _lsSI.get (i).temporaryImpactDrift();

        return adblIncrementalTemporaryDrift;
    }

    /**
     * Generate the Array of Cumulative Temporary Cost Drift
     * 
     * @return The Array of Cumulative Temporary Cost Drift
     */

    public double[] cumulativeTemporaryDrift()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativeTemporaryDrift = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativeTemporaryDrift[i] = 0 == i ? _lsSI.get (i).temporaryImpactDrift() : _lsSI.get
                (i).temporaryImpactDrift() + adblCumulativeTemporaryDrift[i - 1];

        return adblCumulativeTemporaryDrift;
    }

    /**
     * Generate the Total Temporary Cost Drift
     * 
     * @return The Total Temporary Cost Drift
     */

    public double totalTemporaryDrift()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalTemporaryDrift = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalTemporaryDrift = dblTotalTemporaryDrift + _lsSI.get (i).temporaryImpactDrift();

        return dblTotalTemporaryDrift;
    }

    /**
     * Generate the Array of Incremental Temporary Cost Wander
     * 
     * @return The Array of Incremental Temporary Cost Wander
     */

    public double[] incrementalTemporaryWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblIncrementalTemporaryWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblIncrementalTemporaryWander[i] = _lsSI.get (i).temporaryImpactWander();

        return adblIncrementalTemporaryWander;
    }

    /**
     * Generate the Array of Cumulative Temporary Cost Wander
     * 
     * @return The Array of Cumulative Temporary Cost Wander
     */

    public double[] cumulativeTemporaryWander()
    {
        int iNumInterval = _lsSI.size();

        double[] adblCumulativeTemporaryWander = new double[iNumInterval];

        for (int i = 0; i < iNumInterval; ++i)
            adblCumulativeTemporaryWander[i] = 0 == i ? _lsSI.get (i).temporaryImpactWander() : _lsSI.get
                (i).temporaryImpactWander() + adblCumulativeTemporaryWander[i - 1];

        return adblCumulativeTemporaryWander;
    }

    /**
     * Generate the Total Temporary Cost Wander
     * 
     * @return The Total Temporary Cost Wander
     */

    public double totalTemporaryWander()
    {
        int iNumInterval = _lsSI.size();

        double dblTotalTemporaryWander = 0.;

        for (int i = 0; i < iNumInterval; ++i)
            dblTotalTemporaryWander = dblTotalTemporaryWander + _lsSI.get (i).temporaryImpactWander();

        return dblTotalTemporaryWander;
    }
}