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;
    }
}