EfficientTradingTrajectoryContinuous.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>EfficientTradingTrajectoryContinuous</i> contains the Efficient Trading Trajectory generated by one of
  82.  * the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation. The References
  83.  * are:
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li>
  88.  *          Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  92.  *              Risk</i> <b>3 (2)</b> 5-39
  93.  *      </li>
  94.  *      <li>
  95.  *          Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
  96.  *              <i>Applied Mathematical Finance</i> <b>10 (1)</b> 1-18
  97.  *      </li>
  98.  *      <li>
  99.  *          Almgren, R., and N. Chriss (2003): Bidding Principles <i>Risk</i> 97-102
  100.  *      </li>
  101.  *      <li>
  102.  *          Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
  103.  *              Markets</i> <b>1</b> 1-50
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class EfficientTradingTrajectoryContinuous extends
  119.     org.drip.execution.strategy.ContinuousTradingTrajectory implements
  120.         org.drip.execution.optimum.EfficientTradingTrajectory {
  121.     private double _dblMarketPower = java.lang.Double.NaN;
  122.     private double _dblCharacteristicTime = java.lang.Double.NaN;
  123.     private double _dblTransactionCostVariance = java.lang.Double.NaN;
  124.     private double _dblTransactionCostExpectation = java.lang.Double.NaN;

  126.     /**
  127.      * EfficientTradingTrajectoryContinuous Constructor
  128.      * 
  129.      * @param dblExecutionTime The Execution Time
  130.      * @param dblTransactionCostExpectation The Expected Transaction Cost
  131.      * @param dblTransactionCostVariance The Variance of the Transaction Cost
  132.      * @param dblCharacteristicTime The Optimal Trajectory's "Characteristic" Time
  133.      * @param dblMarketPower The Dimension-less Relative Market Impact
  134.      * @param r1ToR1Holdings The Optimal Trajectory R^1 To R^1 Holdings Function
  135.      * @param r1ToR1TradeRate The Optimal Trajectory R^1 To R^1 Trade Rate Function
  136.      * @param r1ToR1TransactionCostExpectation The Transaction Cost Expectation Function
  137.      * @param r1ToR1TransactionCostVariance The Transaction Cost Variance Function
  138.      * 
  139.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  140.      */

  142.     public EfficientTradingTrajectoryContinuous (
  143.         final double dblExecutionTime,
  144.         final double dblTransactionCostExpectation,
  145.         final double dblTransactionCostVariance,
  146.         final double dblCharacteristicTime,
  147.         final double dblMarketPower,
  148.         final org.drip.function.definition.R1ToR1 r1ToR1Holdings,
  149.         final org.drip.function.definition.R1ToR1 r1ToR1TradeRate,
  150.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostExpectation,
  151.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostVariance)
  152.         throws java.lang.Exception
  153.     {
  154.         super (dblExecutionTime, r1ToR1Holdings, r1ToR1TradeRate, r1ToR1TransactionCostExpectation,
  155.             r1ToR1TransactionCostVariance);

  157.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblTransactionCostExpectation =
  158.             dblTransactionCostExpectation) || !org.drip.numerical.common.NumberUtil.IsValid
  159.                 (_dblTransactionCostVariance = dblTransactionCostVariance) ||
  160.                     !org.drip.numerical.common.NumberUtil.IsValid (_dblCharacteristicTime =
  161.                         dblCharacteristicTime))
  162.             throw new java.lang.Exception
  163.                 ("EfficientTradingTrajectoryContinuous Constructor => Invalid Inputs");
  164.     }

  166.     @Override public double marketPower()
  167.     {
  168.         return _dblMarketPower;
  169.     }

  171.     @Override public double transactionCostExpectation()
  172.     {
  173.         return _dblTransactionCostExpectation;
  174.     }

  176.     @Override public double transactionCostVariance()
  177.     {
  178.         return _dblTransactionCostVariance;
  179.     }

  181.     /**
  182.      * Retrieve the Optimal Trajectory Characteristic Time
  183.      * 
  184.      * @return The Optimal Trajectory Characteristic Time
  185.      */

  187.     public double characteristicTime()
  188.     {
  189.         return _dblCharacteristicTime;
  190.     }

  192.     /**
  193.      * Retrieve the Optimal Trajectory Urgency
  194.      * 
  195.      * @return The Optimal Trajectory Urgency
  196.      */

  198.     public double urgency()
  199.     {
  200.         return 0. == _dblCharacteristicTime ? 0. : 1. / _dblCharacteristicTime;
  201.     }
  202. }
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