NonDimensionalCostCorrelated.java

package org.drip.execution.hjb;

/*
 * -*- 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>NonDimensionalCostCorrelated</i> contains the Level, the Gradient, and the Jacobian of the HJB Non
 * dimensional Cost Value Function to the Individual Correlated Market States. The References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
 *              Risk</i> <b>3 (2)</b> 5-39
 *      </li>
 *      <li>
 *          Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
 *              https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
 *      </li>
 *      <li>
 *          Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility <i>SIAM Journal
 *          of Financial Mathematics</i> <b>3 (1)</b> 163-181
 *      </li>
 *      <li>
 *          Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes <i>Mathematical
 *              Finance</i> <b>11 (1)</b> 79-96
 *      </li>
 *      <li>
 *          Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility <i>Review of
 *              Financial Studies</i> <b>7 (4)</b> 631-651
 *      </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/hjb/README.md">Hamilton Jacobin Bellman Based Optimal Evolution</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class NonDimensionalCostCorrelated extends org.drip.execution.hjb.NonDimensionalCost {
    private double _dblLiquidityGradient = java.lang.Double.NaN;
    private double _dblLiquidityJacobian = java.lang.Double.NaN;
    private double _dblVolatilityGradient = java.lang.Double.NaN;
    private double _dblVolatilityJacobian = java.lang.Double.NaN;
    private double _dblLiquidityVolatilityGradient = java.lang.Double.NaN;

    /**
     * Generate a Zero Sensitivity Correlated Non-dimensional Cost Instance
     * 
     * @return The Zero Sensitivity Correlated Non-dimensional Cost Instance
     */

    public static final NonDimensionalCostCorrelated Zero()
    {
        try {
            return new NonDimensionalCostCorrelated (0., 0., 0., 0., 0., 0., 0.);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * NonDimensionalCostCorrelated Constructor
     * 
     * @param dblRealization The Realized Non Dimensional Value
     * @param dblNonDimensionalTradeRate The Non Dimensional Trade Rate
     * @param dblLiquidityGradient The Realized Non Dimensional Value Liquidity Gradient
     * @param dblLiquidityJacobian The Realized Non Dimensional Value Liquidity Jacobian
     * @param dblVolatilityGradient The Realized Non Dimensional Value Volatility Gradient
     * @param dblVolatilityJacobian The Realized Non Dimensional Value Volatility Jacobian
     * @param dblLiquidityVolatilityGradient The Realized Non Dimensional Value Liquidity/Volatility Gradient
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public NonDimensionalCostCorrelated (
        final double dblRealization,
        final double dblLiquidityGradient,
        final double dblLiquidityJacobian,
        final double dblVolatilityGradient,
        final double dblVolatilityJacobian,
        final double dblLiquidityVolatilityGradient,
        final double dblNonDimensionalTradeRate)
        throws java.lang.Exception
    {
        super (dblRealization, dblNonDimensionalTradeRate);

        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblLiquidityGradient = dblLiquidityGradient) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblLiquidityJacobian = dblLiquidityJacobian) ||
                !org.drip.numerical.common.NumberUtil.IsValid (_dblVolatilityGradient = dblVolatilityGradient) ||
                    !org.drip.numerical.common.NumberUtil.IsValid (_dblVolatilityJacobian =
                        dblVolatilityJacobian) || !org.drip.numerical.common.NumberUtil.IsValid
                            (_dblLiquidityVolatilityGradient = dblLiquidityVolatilityGradient))
            throw new java.lang.Exception ("NonDimensionalCostCorrelated Constructor => Invalid Inputs");
    }

    /**
     * Retrieve the Non Dimensional Value Liquidity Gradient
     * 
     * @return The Non Dimensional Value Liquidity Gradient
     */

    public double liquidityGradient()
    {
        return _dblLiquidityGradient;
    }

    /**
     * Retrieve the Non Dimensional Value Liquidity Jacobian
     * 
     * @return The Non Dimensional Value Liquidity Jacobian
     */

    public double liquidityJacobian()
    {
        return _dblLiquidityJacobian;
    }

    /**
     * Retrieve the Non Dimensional Value Volatility Gradient
     * 
     * @return The Non Dimensional Value Volatility Gradient
     */

    public double volatilityGradient()
    {
        return _dblVolatilityGradient;
    }

    /**
     * Retrieve the Non Dimensional Value Volatility Jacobian
     * 
     * @return The Non Dimensional Value Volatility Jacobian
     */

    public double volatilityJacobian()
    {
        return _dblVolatilityJacobian;
    }

    /**
     * Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
     * 
     * @return The Non Dimensional Value Liquidity/Volatility Gradient
     */

    public double liquidityVolatilityGradient()
    {
        return _dblLiquidityVolatilityGradient;
    }
}