ParticipationRatePower.java
package org.drip.execution.impact;
/*
* -*- 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>ParticipationRatePower</i> implements a Power-Law Based Temporary/Permanent Market Impact Function
* where the Price Change scales as a Power of the Trade Rate. 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., and N. Chriss (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>
* Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
* Markets</i> <b>1</b> 1-50
* </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/impact/README.md">Market Impact Transaction Function Implementation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ParticipationRatePower extends org.drip.execution.impact.TransactionFunctionPower {
private double _dblConstant = java.lang.Double.NaN;
private double _dblExponent = java.lang.Double.NaN;
/**
* ParticipationRatePower Constructor
*
* @param dblConstant The Market Impact Constant Parameter
* @param dblExponent The Market Impact Power Law Exponent
*
* @throws java.lang.Exception Propagated up from R1ToR1
*/
public ParticipationRatePower (
final double dblConstant,
final double dblExponent)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblConstant = dblConstant) || 0. > _dblConstant ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblExponent = dblExponent) || 0. > _dblExponent)
throw new java.lang.Exception ("ParticipationRatePower Constructor => Invalid Inputs");
}
@Override public double constant()
{
return _dblConstant;
}
@Override public double exponent()
{
return _dblExponent;
}
@Override public double regularize (
final double dblTradeInterval)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblTradeInterval) || 0 >= dblTradeInterval)
throw new java.lang.Exception ("ParticipationRatePower::regularize => Invalid Inputs");
return 1. / dblTradeInterval;
}
@Override public double modulate (
final double dblTradeInterval)
throws java.lang.Exception
{
return 1.;
}
@Override public double evaluate (
final double dblTradeRate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblTradeRate))
throw new java.lang.Exception ("ParticipationRatePower::evaluate => Invalid Inputs");
return (dblTradeRate < 0. ? -1. : 1.) * _dblConstant * java.lang.Math.pow (java.lang.Math.abs
(dblTradeRate), _dblExponent);
}
@Override public double derivative (
final double dblTradeRate,
final int iOrder)
throws java.lang.Exception
{
if (0 >= iOrder || !org.drip.numerical.common.NumberUtil.IsValid (dblTradeRate))
throw new java.lang.Exception ("ParticipationRatePower::derivative => Invalid Inputs");
double dblCoefficient = 1.;
for (int i = 0; i < iOrder; ++i)
dblCoefficient = dblCoefficient * (_dblExponent - i);
return (dblTradeRate < 0. ? -1. : 1.) * dblCoefficient * _dblConstant * java.lang.Math.pow
(java.lang.Math.abs (dblTradeRate), _dblExponent - iOrder);
}
}