TradingEnhancedDiscrete.java

package org.drip.execution.optimum;

/*
 * -*- 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>TradingEnhancedDiscrete</i> contains the Trading Trajectory generated by one of the Methods outlined in
 * the Almgren (2003) Scheme for Continuous Trading Approximation for Linear Trading Enhanced Temporary
 * Impact Volatility. 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/optimum/README.md">Almgren-Chriss Efficient Trading Trajectories</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class TradingEnhancedDiscrete extends org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete {
    private double _dblCharacteristicSize = java.lang.Double.NaN;
    private double _dblCharacteristicTime = java.lang.Double.NaN;

    /**
     * Construct a Standard TradingEnhancedDiscrete Instance
     * 
     * @param dtt The Trading Trajectory
     * @param apep The Arithmetic Price Walk Evolution Parameters
     * @param dblCharacteristicTime The Optimal Trajectory's "Characteristic" Time
     * @param dblCharacteristicSize The Optimal Trajectory's "Characteristic" Size
     * 
     * @return The TradingEnhancedDiscrete Instance
     */

    public static TradingEnhancedDiscrete Standard (
        final org.drip.execution.strategy.DiscreteTradingTrajectory dtt,
        final org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters apep,
        final double dblCharacteristicTime,
        final double dblCharacteristicSize)
    {
        if (null == dtt || null == apep) return null;

        try {
            org.drip.measure.gaussian.R1UnivariateNormal r1un = (new
                org.drip.execution.capture.TrajectoryShortfallEstimator (dtt)).totalCostDistributionSynopsis
                    (apep);

            return null == r1un ? null : new TradingEnhancedDiscrete (dtt.executionTimeNode(),
                dtt.holdings(), dtt.tradeList(), r1un.mean(), r1un.variance(), dblCharacteristicTime,
                    dblCharacteristicSize, apep.temporaryExpectation().epochImpactFunction().evaluate
                        (dtt.instantTradeRate()) / (apep.arithmeticPriceDynamicsSettings().epochVolatility()
                            * java.lang.Math.sqrt (dtt.executionTime())));
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * TradingEnhancedDiscrete Constructor
     * 
     * @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
     * @param adblHoldings Array containing the Holdings
     * @param adblTradeList Array containing the Trade List
     * @param dblTransactionCostExpectation The Expected Transaction Cost
     * @param dblTransactionCostVariance The Variance of the Transaction Cost
     * @param dblCharacteristicTime The Optimal Trajectory's "Characteristic" Time
     * @param dblCharacteristicSize The Optimal Trajectory's "Characteristic" Size
     * @param dblMarketPower Estimate of the Relative Market Impact Power
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public TradingEnhancedDiscrete (
        final double[] adblExecutionTimeNode,
        final double[] adblHoldings,
        final double[] adblTradeList,
        final double dblTransactionCostExpectation,
        final double dblTransactionCostVariance,
        final double dblCharacteristicTime,
        final double dblCharacteristicSize,
        final double dblMarketPower)
        throws java.lang.Exception
    {
        super (adblExecutionTimeNode, adblHoldings, adblTradeList, dblTransactionCostExpectation,
            dblTransactionCostVariance, dblMarketPower);

        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblCharacteristicTime = dblCharacteristicTime) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblCharacteristicSize = dblCharacteristicSize))
            throw new java.lang.Exception ("TradingEnhancedDiscrete Constructor => Invalid Inputs");
    }

    /**
     * Retrieve the Optimal Trajectory Characteristic Size
     * 
     * @return The Optimal Trajectory Characteristic Size
     */

    public double characteristicSize()
    {
        return _dblCharacteristicSize;
    }

    /**
     * Retrieve the Optimal Trajectory Characteristic Time
     * 
     * @return The Optimal Trajectory Characteristic Time
     */

    public double characteristicTime()
    {
        return _dblCharacteristicTime;
    }
}