Slice.java
package org.drip.execution.discrete;
/*
* -*- 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>Slice</i> implements the Arithmetic Dynamics of the Price/Cost Movements exhibited by an Asset owing to
* the Volatility and the Market Impact Factors on a Trajectory Slice. 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/discrete/README.md">Trajectory Slice Execution Cost Distribution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class Slice implements org.drip.execution.sensitivity.ControlNodesGreekGenerator {
private double _dblTimeInterval = java.lang.Double.NaN;
private double _dblLeftHoldings = java.lang.Double.NaN;
private double _dblRightHoldings = java.lang.Double.NaN;
/**
* Slice Constructor
*
* @param dblLeftHoldings The Left-of-Slice Holdings
* @param dblRightHoldings The Right-of-Slice Holdings
* @param dblTimeInterval The Discrete Time Interval
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public Slice (
final double dblLeftHoldings,
final double dblRightHoldings,
final double dblTimeInterval)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblLeftHoldings = dblLeftHoldings) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblRightHoldings = dblRightHoldings) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblTimeInterval = dblTimeInterval) || 0. >=
_dblTimeInterval)
throw new java.lang.Exception ("Slice Constructor => Invalid Inputs!");
}
/**
* Retrieve the Left-of-Slice Holdings
*
* @return The Left-of-Slice Holdings
*/
public double leftHoldings()
{
return _dblLeftHoldings;
}
/**
* Retrieve the Right Holdings
*
* @return The Right Holdings
*/
public double rightHoldings()
{
return _dblRightHoldings;
}
/**
* Retrieve the Evolution Time Interval of the Arithmetic Dynamics
*
* @return The Evolution Time Interval of the Arithmetic Dynamics
*/
public double timeInterval()
{
return _dblTimeInterval;
}
/**
* Indicate if the Slice is a Sell
*
* @return TRUE - The Slice is a Sell
*/
public boolean isSell()
{
return _dblLeftHoldings - _dblRightHoldings > 0.;
}
/**
* Generate the Price Evolution Increment Unit Realization given the Walk Realization
*
* @param dblPreviousEquilibriumPrice The Previous Equilibrium Price
* @param ws Realized Walk Suite
* @param apep The Arithmetic Price Walk Evolution Parameters
*
* @return The Realized Price Evolution Increment Unit given the Walk Realization
*/
public org.drip.execution.discrete.PriceIncrement priceIncrementRealization (
final double dblPreviousEquilibriumPrice,
final org.drip.execution.dynamics.WalkSuite ws,
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == ws || null == apep) return null;
org.drip.execution.parameters.ArithmeticPriceDynamicsSettings apds =
apep.arithmeticPriceDynamicsSettings();
double dblSerialCorrelation = apds.serialCorrelation();
double dblTimeUnitSQRT = java.lang.Math.sqrt (_dblTimeInterval);
double dblExecutionRate = (_dblRightHoldings - _dblLeftHoldings) / _dblTimeInterval;
try {
double dblMarketCoreJumpUnit = apds.epochVolatility() * dblTimeUnitSQRT;
return new org.drip.execution.discrete.PriceIncrement (
dblPreviousEquilibriumPrice,
new org.drip.execution.evolution.MarketImpactComponent (
_dblTimeInterval * apds.drift(),
0.,
_dblTimeInterval * apep.permanentExpectation().epochImpactFunction().evaluate (dblExecutionRate),
apep.temporaryExpectation().epochImpactFunction().evaluate (dblExecutionRate)
),
new org.drip.execution.evolution.MarketImpactComponent (
dblMarketCoreJumpUnit * java.lang.Math.sqrt (1. + dblSerialCorrelation * dblSerialCorrelation) *
ws.currentWanderer(),
dblMarketCoreJumpUnit * dblSerialCorrelation * ws.previousWanderer(),
dblTimeUnitSQRT * apep.permanentVolatility().epochImpactFunction().evaluate (dblExecutionRate) *
ws.permanentImpactWanderer(),
dblTimeUnitSQRT * apep.temporaryVolatility().epochImpactFunction().evaluate (dblExecutionRate) *
ws.temporaryImpactWanderer()
)
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Generate the Cost Evolution Increment Unit Realization given the Walk Realization
*
* @param dblPreviousEquilibriumPrice The Previous Equilibrium Price
* @param ws Realized Walk Suite
* @param apep The Arithmetic Price Walk Evolution Parameters
*
* @return The Cost Evolution Increment Unit Realization given the Walk Realization
*/
public org.drip.execution.discrete.ShortfallIncrement costIncrementRealization (
final double dblPreviousEquilibriumPrice,
final org.drip.execution.dynamics.WalkSuite ws,
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
return org.drip.execution.discrete.ShortfallIncrement.Standard (
priceIncrementRealization (dblPreviousEquilibriumPrice, ws, apep),
_dblLeftHoldings,
_dblRightHoldings - _dblLeftHoldings
);
}
/**
* Generate the R^1 Normal Cost Increment Distribution
*
* @param apep The Arithmetic Price Walk Evolution Parameters
*
* @return The R^1 Normal Cost Increment Distribution
*/
public org.drip.execution.discrete.ShortfallIncrementDistribution costIncrementDistribution (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
double dblTradeAmount = _dblRightHoldings > _dblLeftHoldings ? _dblRightHoldings - _dblLeftHoldings :
_dblLeftHoldings - _dblRightHoldings;
double dblExecutionRate = dblTradeAmount / _dblTimeInterval;
org.drip.execution.parameters.ArithmeticPriceDynamicsSettings apds =
apep.arithmeticPriceDynamicsSettings();
try {
double dblMarketCoreVolatility = apds.epochVolatility();
double dblTemporaryVolatility = apep.temporaryVolatility().epochImpactFunction().evaluate
(dblTradeAmount, _dblTimeInterval);
return new org.drip.execution.discrete.ShortfallIncrementDistribution (
_dblTimeInterval * _dblRightHoldings * apep.permanentExpectation().epochImpactFunction().evaluate
(dblExecutionRate),
dblTradeAmount * apep.temporaryExpectation().epochImpactFunction().evaluate (dblExecutionRate),
-1. * _dblRightHoldings * apds.drift() * _dblTimeInterval,
0.,
dblExecutionRate * dblExecutionRate * dblTemporaryVolatility * dblTemporaryVolatility *
_dblTimeInterval,
_dblRightHoldings * _dblRightHoldings * dblMarketCoreVolatility * dblMarketCoreVolatility *
_dblTimeInterval
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek permanentImpactExpectation (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
double dblTradeAmount = _dblRightHoldings - _dblLeftHoldings;
double dblSign = _dblRightHoldings < _dblLeftHoldings ? -1. : 1.;
org.drip.execution.impact.TransactionFunction tfPermanentDrift =
apep.permanentExpectation().epochImpactFunction();
try {
double dblPermanentDrift = tfPermanentDrift.evaluate (dblTradeAmount, _dblTimeInterval);
double dblPermanentDriftLeftJacobian = tfPermanentDrift.leftHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 1);
double dblPermanentDriftRightJacobian = tfPermanentDrift.rightHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 1);
double dblPermanentDriftLeftHessian = tfPermanentDrift.leftHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 2);
double dblPermanentDriftRightHessian = tfPermanentDrift.rightHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 2);
double dblPermanentDriftCrossHessian = tfPermanentDrift.crossHoldingsDerivative (dblTradeAmount,
_dblTimeInterval);
double dblPermanentDriftImpact = dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDrift;
double dblPermanentDriftImpactLeftJacobian = dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDriftLeftJacobian;
double dblPermanentDriftImpactRightJacobian = dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDriftRightJacobian + dblSign * _dblTimeInterval * dblPermanentDrift;
double dblPermanentDriftImpactLeftHessian = dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDriftLeftHessian;
double dblPermanentDriftImpactRightHessian = dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDriftRightHessian + 2. * dblSign * _dblTimeInterval *
dblPermanentDriftRightJacobian;
double dblPermanentDriftImpactCrossHessian = dblSign * _dblTimeInterval *
dblPermanentDriftLeftJacobian + dblSign * _dblTimeInterval * _dblRightHoldings *
dblPermanentDriftCrossHessian;
return new org.drip.execution.sensitivity.ControlNodesGreek (
dblPermanentDriftImpact,
new double[] {
dblPermanentDriftImpactLeftJacobian,
dblPermanentDriftImpactRightJacobian
},
new double[][] {
{dblPermanentDriftImpactLeftHessian, dblPermanentDriftImpactCrossHessian},
{dblPermanentDriftImpactCrossHessian, dblPermanentDriftImpactRightHessian}
}
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek permanentImpactVariance (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
try {
return new org.drip.execution.sensitivity.ControlNodesGreek (0., new double[] {0., 0.}, new
double[][] {{0., 0.}, {0., 0.}});
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek temporaryImpactExpectation (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
double dblTradeAmount = _dblRightHoldings - _dblLeftHoldings;
org.drip.execution.impact.TransactionFunction tfTemporaryDrift =
apep.temporaryExpectation().epochImpactFunction();
try {
double dblTemporaryDrift = tfTemporaryDrift.evaluate (dblTradeAmount, _dblTimeInterval);
double dblTemporaryDriftLeftJacobian = tfTemporaryDrift.leftHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 1);
double dblTemporaryDriftRightJacobian = tfTemporaryDrift.rightHoldingsDerivative
(dblTradeAmount, _dblTimeInterval, 1);
double dblTemporaryDriftLeftHessian = tfTemporaryDrift.leftHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 2);
double dblTemporaryDriftRightHessian = tfTemporaryDrift.rightHoldingsDerivative (dblTradeAmount,
_dblTimeInterval, 2);
double dblTemporaryDriftCrossHessian = tfTemporaryDrift.crossHoldingsDerivative (dblTradeAmount,
_dblTimeInterval);
double dblTemporaryDriftImpact = dblTradeAmount * dblTemporaryDrift;
double dblTemporaryDriftImpactLeftJacobian = -1. * dblTemporaryDrift + dblTradeAmount *
dblTemporaryDriftLeftJacobian;
double dblTemporaryDriftImpactRightJacobian = dblTemporaryDrift + dblTradeAmount *
dblTemporaryDriftRightJacobian;
double dblTemporaryDriftImpactLeftHessian = -2. * dblTemporaryDriftLeftJacobian + dblTradeAmount
* dblTemporaryDriftLeftHessian;
double dblTemporaryDriftImpactRightHessian = 2. * dblTemporaryDriftRightJacobian + dblTradeAmount
* dblTemporaryDriftRightHessian;
double dblTemporaryDriftImpactCrossHessian = -1. * dblTemporaryDriftRightJacobian +
dblTemporaryDriftLeftJacobian + dblTradeAmount * dblTemporaryDriftCrossHessian;
return new org.drip.execution.sensitivity.ControlNodesGreek (
dblTemporaryDriftImpact,
new double[] {
dblTemporaryDriftImpactLeftJacobian,
dblTemporaryDriftImpactRightJacobian
},
new double[][] {
{dblTemporaryDriftImpactLeftHessian, dblTemporaryDriftImpactCrossHessian},
{dblTemporaryDriftImpactCrossHessian, dblTemporaryDriftImpactRightHessian}
}
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek temporaryImpactVariance (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
double dblTradeAmount = _dblRightHoldings - _dblLeftHoldings;
double dblTradeAmountSquared = dblTradeAmount * dblTradeAmount;
org.drip.execution.impact.TransactionFunction tfTemporaryVolatility =
apep.temporaryVolatility().epochImpactFunction();
try {
if (null == tfTemporaryVolatility)
return new org.drip.execution.sensitivity.ControlNodesGreek (0., new double[] {0., 0.}, new
double[][] {{0., 0.}, {0., 0.}});
double dblTemporaryVolatility = tfTemporaryVolatility.evaluate (dblTradeAmount,
_dblTimeInterval);
double dblTemporaryVolatilityLeftJacobian = tfTemporaryVolatility.leftHoldingsDerivative
(dblTradeAmount, _dblTimeInterval, 1);
double dblTemporaryVolatilityRightJacobian = tfTemporaryVolatility.rightHoldingsDerivative
(dblTradeAmount, _dblTimeInterval, 1);
double dblTemporaryVolatilityLeftHessian = tfTemporaryVolatility.leftHoldingsDerivative
(dblTradeAmount, _dblTimeInterval, 2);
double dblTemporaryVolatilityRightHessian = tfTemporaryVolatility.rightHoldingsDerivative
(dblTradeAmount, _dblTimeInterval, 2);
double dblTemporaryVolatilityCrossHessian = tfTemporaryVolatility.crossHoldingsDerivative
(dblTradeAmount, _dblTimeInterval);
double dblTemporaryVolatilitySquared = dblTemporaryVolatility * dblTemporaryVolatility;
double dblTemporaryVarianceCrossHessian =
2. * dblTradeAmountSquared * dblTemporaryVolatilityLeftJacobian * dblTemporaryVolatilityRightJacobian * _dblTimeInterval
+ 2. * dblTradeAmountSquared * dblTemporaryVolatility * dblTemporaryVolatilityCrossHessian * _dblTimeInterval
+ 4. * dblTradeAmount * dblTemporaryVolatility * dblTemporaryVolatilityLeftJacobian * _dblTimeInterval
- 4. * dblTradeAmount * dblTemporaryVolatility * dblTemporaryVolatilityRightJacobian * _dblTimeInterval
- 2. * dblTemporaryVolatilitySquared * _dblTimeInterval;
return new org.drip.execution.sensitivity.ControlNodesGreek (
dblTradeAmountSquared * dblTemporaryVolatilitySquared * _dblTimeInterval,
new double[] {
2. * dblTradeAmountSquared * dblTemporaryVolatility * dblTemporaryVolatilityLeftJacobian * _dblTimeInterval
- 2. * dblTradeAmount * dblTemporaryVolatilitySquared * _dblTimeInterval,
2. * dblTradeAmountSquared * dblTemporaryVolatility * dblTemporaryVolatilityRightJacobian * _dblTimeInterval
+ 2. * dblTradeAmount * dblTemporaryVolatilitySquared * _dblTimeInterval
},
new double[][] {
{
2. * dblTradeAmountSquared * dblTemporaryVolatilityLeftJacobian * dblTemporaryVolatilityLeftJacobian * _dblTimeInterval
+ 2. * dblTradeAmountSquared * dblTemporaryVolatility * dblTemporaryVolatilityLeftHessian * _dblTimeInterval
- 8. * dblTradeAmount * dblTemporaryVolatility * dblTemporaryVolatilityLeftJacobian * _dblTimeInterval
+ 2. * dblTemporaryVolatilitySquared * _dblTimeInterval,
dblTemporaryVarianceCrossHessian
}, {
dblTemporaryVarianceCrossHessian,
2. * dblTradeAmountSquared * dblTemporaryVolatilityRightJacobian * dblTemporaryVolatilityRightJacobian * _dblTimeInterval
+ 2. * dblTradeAmountSquared * dblTemporaryVolatility * dblTemporaryVolatilityRightHessian * _dblTimeInterval
+ 8. * dblTradeAmount * dblTemporaryVolatility * dblTemporaryVolatilityRightJacobian * _dblTimeInterval
+ 2. * dblTemporaryVolatilitySquared * _dblTimeInterval
}
}
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek marketDynamicsExpectation (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
double dblDrift = apep.arithmeticPriceDynamicsSettings().drift();
try {
return new org.drip.execution.sensitivity.ControlNodesGreek (
-1. * _dblTimeInterval * dblDrift * _dblRightHoldings,
new double[] {
0.,
-1. * _dblTimeInterval * dblDrift
}, new
double[][] {
{0., 0.},
{0., 0.}
}
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek marketDynamicsVariance (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
try {
double dblVolatility = apep.arithmeticPriceDynamicsSettings().epochVolatility();
return new org.drip.execution.sensitivity.ControlNodesGreek (
_dblTimeInterval * dblVolatility * dblVolatility * _dblRightHoldings * _dblRightHoldings,
new double[] {
0.,
2. * _dblTimeInterval * dblVolatility * dblVolatility * _dblRightHoldings
}, new double[][] {
{0., 0.},
{0., 2. * _dblTimeInterval * dblVolatility * dblVolatility}
}
);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek expectationContribution (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
org.drip.execution.sensitivity.ControlNodesGreek cngPermanentImpact = permanentImpactExpectation
(apep);
if (null == cngPermanentImpact) return null;
org.drip.execution.sensitivity.ControlNodesGreek cngTemporaryImpact = temporaryImpactExpectation
(apep);
if (null == cngTemporaryImpact) return null;
org.drip.execution.sensitivity.ControlNodesGreek cngMarketCore = marketDynamicsExpectation (apep);
if (null == cngMarketCore) return null;
double[][] aadblPermanentImpactExpectationHessian = cngPermanentImpact.hessian();
double[][] aadblTemporaryImpactExpectationHessian = cngTemporaryImpact.hessian();
double[] adblPermanentImpactExpectationJacobian = cngPermanentImpact.jacobian();
double[] adblTemporaryImpactExpectationJacobian = cngTemporaryImpact.jacobian();
double[][] aadblMarketCoreExpectationHessian = cngMarketCore.hessian();
double[] adblMarketCoreExpectationJacobian = cngMarketCore.jacobian();
int iNumSliceNode = adblMarketCoreExpectationJacobian.length;
double[][] aadblHessian = new double[iNumSliceNode][iNumSliceNode];
double[] adblJacobian = new double[iNumSliceNode];
for (int i = 0; i < iNumSliceNode; ++i) {
adblJacobian[i] = adblPermanentImpactExpectationJacobian[i] +
adblTemporaryImpactExpectationJacobian[i] + adblMarketCoreExpectationJacobian[i];
for (int j = 0; j < iNumSliceNode; ++j)
aadblHessian[i][j] = aadblPermanentImpactExpectationHessian[i][j] +
aadblTemporaryImpactExpectationHessian[i][j] + aadblMarketCoreExpectationHessian[i][j];
}
try {
return new org.drip.execution.sensitivity.ControlNodesGreek (cngPermanentImpact.value() +
cngTemporaryImpact.value() + cngMarketCore.value(), adblJacobian, aadblHessian);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
@Override public org.drip.execution.sensitivity.ControlNodesGreek varianceContribution (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
org.drip.execution.sensitivity.ControlNodesGreek cngPermanentImpact = permanentImpactVariance (apep);
if (null == cngPermanentImpact) return null;
org.drip.execution.sensitivity.ControlNodesGreek cngTemporaryImpact = temporaryImpactVariance (apep);
if (null == cngTemporaryImpact) return null;
org.drip.execution.sensitivity.ControlNodesGreek cngMarketCore = marketDynamicsVariance (apep);
if (null == cngMarketCore) return null;
double[][] aadblPermanentImpactExpectationHessian = cngPermanentImpact.hessian();
double[][] aadblTemporaryImpactExpectationHessian = cngTemporaryImpact.hessian();
double[] adblPermanentImpactExpectationJacobian = cngPermanentImpact.jacobian();
double[] adblTemporaryImpactExpectationJacobian = cngTemporaryImpact.jacobian();
double[][] aadblMarketCoreExpectationHessian = cngMarketCore.hessian();
double[] adblMarketCoreExpectationJacobian = cngMarketCore.jacobian();
int iNumSliceNode = adblMarketCoreExpectationJacobian.length;
double[][] aadblHessian = new double[iNumSliceNode][iNumSliceNode];
double[] adblJacobian = new double[iNumSliceNode];
for (int i = 0; i < iNumSliceNode; ++i) {
adblJacobian[i] = adblPermanentImpactExpectationJacobian[i] +
adblTemporaryImpactExpectationJacobian[i] + adblMarketCoreExpectationJacobian[i];
for (int j = 0; j < iNumSliceNode; ++j)
aadblHessian[i][j] = aadblPermanentImpactExpectationHessian[i][j] +
aadblTemporaryImpactExpectationHessian[i][j] + aadblMarketCoreExpectationHessian[i][j];
}
try {
return new org.drip.execution.sensitivity.ControlNodesGreek (cngPermanentImpact.value() +
cngTemporaryImpact.value() + cngMarketCore.value(), adblJacobian, aadblHessian);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Estimate the Optimal Adjustment Attributable to the Serial Correlation
*
* @param apep The Arithmetic Price Walk Parameters
*
* @return The Optimal Adjustment Attributable to the Serial Correlation
*/
public org.drip.execution.discrete.OptimalSerialCorrelationAdjustment serialCorrelationAdjustment (
final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep)
{
if (null == apep) return null;
org.drip.execution.parameters.ArithmeticPriceDynamicsSettings apds =
apep.arithmeticPriceDynamicsSettings();
double dblTradeRate = (_dblRightHoldings - _dblLeftHoldings) / _dblTimeInterval;
org.drip.execution.impact.TransactionFunction miTemporary =
apep.temporaryExpectation().epochImpactFunction();
try {
double dblRhoSigma = apds.serialCorrelation() * apds.epochVolatility();
double dblDenominator = 1. / (dblTradeRate * miTemporary.derivative (dblTradeRate, 2) + 2. *
miTemporary.derivative (dblTradeRate, 1));
return new org.drip.execution.discrete.OptimalSerialCorrelationAdjustment (dblDenominator *
dblRhoSigma * java.lang.Math.pow (_dblTimeInterval, 1.5), 0.5 * dblDenominator * dblRhoSigma
* dblRhoSigma * _dblTimeInterval * _dblTimeInterval);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
}