AssetFlowSettings.java
package org.drip.execution.parameters;
/*
* -*- 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>AssetFlowSettings</i> contains the Asset's Market Flow Parameters that are determined empirically from
* Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). 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. (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>
* Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact <i>Risk</i> <b>18 (7)</b>
* 57-62
* </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/parameters/README.md">Empirical Market Impact Coefficients Calibration</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class AssetFlowSettings {
private java.lang.String _strAssetID = "";
private double _dblDailyVolatility = java.lang.Double.NaN;
private double _dblNumberOutstanding = java.lang.Double.NaN;
private double _dblAverageDailyVolume = java.lang.Double.NaN;
/**
* AssetFlowSettings Constructor
*
* @param strAssetID The Asset ID
* @param dblAverageDailyVolume The Asset Average Daily Volume
* @param dblNumberOutstanding The Number of Trade-able Asset Units Outstanding
* @param dblDailyVolatility The Asset Daily Volatility
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AssetFlowSettings (
final java.lang.String strAssetID,
final double dblAverageDailyVolume,
final double dblNumberOutstanding,
final double dblDailyVolatility)
throws java.lang.Exception
{
if (null == (_strAssetID = strAssetID) || _strAssetID.isEmpty() ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblAverageDailyVolume = dblAverageDailyVolume) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblNumberOutstanding = dblNumberOutstanding) ||
!org.drip.numerical.common.NumberUtil.IsValid (_dblDailyVolatility = dblDailyVolatility) ||
0. >= _dblNumberOutstanding || 0. >= _dblDailyVolatility)
throw new java.lang.Exception ("AssetFlowSettings Constructor => Invalid Inputs");
}
/**
* Retrieve the Asset ID
*
* @return The Asset ID
*/
public java.lang.String assetID()
{
return _strAssetID;
}
/**
* Retrieve the Average Daily Volume
*
* @return The Average Daily Volume
*/
public double averageDailyVolume()
{
return _dblAverageDailyVolume;
}
/**
* Retrieve the Daily Volatility
*
* @return The Daily Volatility
*/
public double dailyVolatility()
{
return _dblDailyVolatility;
}
/**
* Retrieve the Outstanding Number of the Traded Units
*
* @return The Outstanding Number of the Traded Units
*/
public double outstandingUnits()
{
return _dblNumberOutstanding;
}
/**
* Retrieve the Daily Turnover
*
* @return The Daily Turnover
*/
public double turnover()
{
return _dblAverageDailyVolume / _dblNumberOutstanding;
}
/**
* Retrieve the Daily Inverse Turnover
*
* @return The Daily Inverse Turnover
*/
public double inverseTurnover()
{
return _dblNumberOutstanding / _dblAverageDailyVolume;
}
/**
* Retrieve the Normalized Trade Size
*
* @param dblRawTradeSize The Raw Trade Size
* @param dblTime The Time
*
* @return The Normalized Trade Size
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double normalizeTradeSize (
final double dblRawTradeSize,
final double dblTime)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblRawTradeSize) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblTime))
throw new java.lang.Exception ("AssetFlowSettings::normalizeTradeSize => Invalid Inputs");
return dblRawTradeSize / (_dblAverageDailyVolume * dblTime);
}
/**
* De-normalize the Specified Temporary/Permanent Impact
*
* @param dblNormalizedImpact The Normalized Impact
*
* @return The De-normalized Temporary/Permanent Impact
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double denormalizeImpact (
final double dblNormalizedImpact)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblNormalizedImpact))
throw new java.lang.Exception ("AssetFlowSettings::denormalizeImpact => Invalid Inputs");
return dblNormalizedImpact * _dblDailyVolatility;
}
}