AlmgrenChrissDriftDiscrete.java

  1. package org.drip.execution.optimum;

  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>AlmgrenChrissDriftDiscrete</i> contains the Trading Trajectory generated by the Almgren and Chriss
  82.  * (2000) Scheme under the Criterion of Non-zero Drift. 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/optimum/README.md">Almgren-Chriss Efficient Trading Trajectories</a></li>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class AlmgrenChrissDriftDiscrete extends org.drip.execution.optimum.AlmgrenChrissDiscrete {
  120.     private double[] _adblHoldingsDriftAdjustment = null;
  121.     private double[] _adblTradeListDriftAdjustment = null;
  122.     private double _dblResidualHolding = java.lang.Double.NaN;
  123.     private double _dblDriftGainUpperBound = java.lang.Double.NaN;

  125.     /**
  126.      * AlmgrenChrissDriftDiscrete Constructor
  127.      * 
  128.      * @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
  129.      * @param adblHoldings Array containing the Holdings
  130.      * @param adblTradeList Array containing the Trade List
  131.      * @param adblHoldingsDriftAdjustment Array containing the Holdings Drift Adjustment
  132.      * @param adblTradeListDriftAdjustment Array containing the Trade List Drift Adjustment
  133.      * @param dblKappaTilda AC2000 Kappa-Tilda
  134.      * @param dblKappa AC2000 Kappa
  135.      * @param dblResidualHolding The Residual Holdings induced by the Drift
  136.      * @param dblDriftGainUpperBound The Upper Bound of the Gain induced by Drift
  137.      * @param dblTransactionCostExpectation The Expected Transaction Cost
  138.      * @param dblTransactionCostVariance The Variance of the Transaction Cost
  139.      * @param dblMarketPower Estimate of the Relative Market Impact Power
  140.      * 
  141.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  142.      */

  144.     public AlmgrenChrissDriftDiscrete (
  145.         final double[] adblExecutionTimeNode,
  146.         final double[] adblHoldings,
  147.         final double[] adblTradeList,
  148.         final double[] adblHoldingsDriftAdjustment,
  149.         final double[] adblTradeListDriftAdjustment,
  150.         final double dblKappaTilda,
  151.         final double dblKappa,
  152.         final double dblResidualHolding,
  153.         final double dblDriftGainUpperBound,
  154.         final double dblTransactionCostExpectation,
  155.         final double dblTransactionCostVariance,
  156.         final double dblMarketPower)
  157.         throws java.lang.Exception
  158.     {
  159.         super (adblExecutionTimeNode, adblHoldings, adblTradeList, dblKappaTilda, dblKappa,
  160.             dblTransactionCostExpectation, dblTransactionCostVariance, dblMarketPower);

  162.         if (null == (_adblHoldingsDriftAdjustment = adblHoldingsDriftAdjustment) || null ==
  163.             (_adblTradeListDriftAdjustment = adblTradeListDriftAdjustment) ||
  164.                 !org.drip.numerical.common.NumberUtil.IsValid (_dblResidualHolding = dblResidualHolding) ||
  165.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblDriftGainUpperBound =
  166.                         dblDriftGainUpperBound))
  167.             throw new java.lang.Exception ("AlmgrenChrissDriftDiscrete Constructor => Invalid Inputs");

  169.         int iNumNode = _adblHoldingsDriftAdjustment.length;

  171.         if (0 == iNumNode || iNumNode != _adblTradeListDriftAdjustment.length + 1)
  172.             throw new java.lang.Exception ("AlmgrenChrissDriftDiscrete Constructor => Invalid Inputs");

  174.         for (int i = 0; i < iNumNode; ++i) {
  175.             if (!org.drip.numerical.common.NumberUtil.IsValid (_adblHoldingsDriftAdjustment[i]))
  176.                 throw new java.lang.Exception ("AlmgrenChrissDriftDiscrete Constructor => Invalid Inputs");

  178.             if (0 != i) {
  179.                 if (!org.drip.numerical.common.NumberUtil.IsValid (_adblTradeListDriftAdjustment[i - 1]))
  180.                     throw new java.lang.Exception
  181.                         ("AlmgrenChrissDriftDiscrete Constructor => Invalid Inputs");
  182.             }
  183.         }
  184.     }

  186.     /**
  187.      * Retrieve the Array of the Holdings Drift Adjustment
  188.      * 
  189.      * @return The Array of the Holdings Drift Adjustment
  190.      */

  192.     public double[] holdingsDriftAdjustment()
  193.     {
  194.         return _adblHoldingsDriftAdjustment;
  195.     }

  197.     /**
  198.      * Retrieve the Array of the Trade List Drift Adjustment
  199.      * 
  200.      * @return The Array of the Trade List Drift Adjustment
  201.      */

  203.     public double[] tradeListDriftAdjustment()
  204.     {
  205.         return _adblTradeListDriftAdjustment;
  206.     }

  208.     /**
  209.      * Retrieve the Residual Holdings induced by the Drift
  210.      * 
  211.      * @return The Residual Holdings induced by the Drift
  212.      */

  214.     public double residualHolding()
  215.     {
  216.         return _dblResidualHolding;
  217.     }

  219.     /**
  220.      * Retrieve the Gain Upper Bound induced by the Drift
  221.      * 
  222.      * @return The Gain Upper Bound induced by the Drift
  223.      */

  225.     public double driftGainUpperBound()
  226.     {
  227.         return _dblDriftGainUpperBound;
  228.     }
  229. }
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