ContinuousTradingTrajectory.java
package org.drip.execution.strategy;
/*
* -*- 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>ContinuousTradingTrajectory</i> holds the Continuous Trajectory of a Trading Block that is to be
* executed over the Specified Horizon. The References are:
*
* <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/strategy/README.md">Discrete/Continuous Trading Trajectory Schedule</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ContinuousTradingTrajectory implements org.drip.execution.strategy.TradingTrajectory {
private double _dblExecutionTime = java.lang.Double.NaN;
private org.drip.function.definition.R1ToR1 _r1ToR1Holdings = null;
private org.drip.function.definition.R1ToR1 _r1ToR1TradeRate = null;
private org.drip.function.definition.R1ToR1 _r1ToR1TransactionCostVariance = null;
private org.drip.function.definition.R1ToR1 _r1ToR1TransactionCostExpectation = null;
/**
* Construct a Standard Instance of ContinuousTradingTrajectory
*
* @param dblExecutionTime The Execution Time
* @param r1ToR1Holdings The Holdings Function
* @param r1ToR1TransactionCostExpectation The Transaction Cost Expectation Function
* @param r1ToR1TransactionCostVariance The Transaction Cost Variance Function
*
* @return Standard Instance of ContinuousTradingTrajectory
*/
public static final ContinuousTradingTrajectory Standard (
final double dblExecutionTime,
final org.drip.function.definition.R1ToR1 r1ToR1Holdings,
final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostExpectation,
final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostVariance)
{
if (null == r1ToR1Holdings) return null;
org.drip.function.definition.R1ToR1 r1ToR1TradeRate = new org.drip.function.definition.R1ToR1 (null)
{
@Override public double evaluate (
final double dblVariate)
throws java.lang.Exception
{
return r1ToR1Holdings.derivative (dblVariate, 1);
}
};
try {
return new ContinuousTradingTrajectory (dblExecutionTime, r1ToR1Holdings, r1ToR1TradeRate,
r1ToR1TransactionCostExpectation, r1ToR1TransactionCostVariance);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* ContinuousTradingTrajectory Constructor
*
* @param dblExecutionTime The Execution Time
* @param r1ToR1Holdings The Holdings Function
* @param r1ToR1TradeRate The Trade Rate Function
* @param r1ToR1TransactionCostExpectation The Transaction Cost Expectation Function
* @param r1ToR1TransactionCostVariance The Transaction Cost Variance Function
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ContinuousTradingTrajectory (
final double dblExecutionTime,
final org.drip.function.definition.R1ToR1 r1ToR1Holdings,
final org.drip.function.definition.R1ToR1 r1ToR1TradeRate,
final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostExpectation,
final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostVariance)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_dblExecutionTime = dblExecutionTime) || 0. >=
_dblExecutionTime || null == (_r1ToR1Holdings = r1ToR1Holdings) || null == (_r1ToR1TradeRate =
r1ToR1TradeRate) || null == (_r1ToR1TransactionCostExpectation =
r1ToR1TransactionCostExpectation) || null == (_r1ToR1TransactionCostVariance =
r1ToR1TransactionCostVariance))
throw new java.lang.Exception ("ContinuousTradingTrajectory Constructor => Invalid Inputs");
}
@Override public double tradeSize()
{
try {
return _r1ToR1Holdings.evaluate (0.);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return 0.;
}
@Override public double executedBlockSize()
{
try {
return _r1ToR1Holdings.evaluate (0.) - _r1ToR1Holdings.evaluate (_dblExecutionTime);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return 0.;
}
@Override public double executionTime()
{
return _dblExecutionTime;
}
@Override public double instantTradeRate()
{
return executedBlockSize() / executionTime();
}
/**
* Retrieve the Holdings Function
*
* @return The Holdings Function
*/
public org.drip.function.definition.R1ToR1 holdings()
{
return _r1ToR1Holdings;
}
/**
* Retrieve the Trade Rate Function
*
* @return The Trade Rate Function
*/
public org.drip.function.definition.R1ToR1 tradeRate()
{
return _r1ToR1TradeRate;
}
/**
* Retrieve the Transaction Cost Expectation Function
*
* @return The Transaction Cost Expectation Function
*/
public org.drip.function.definition.R1ToR1 transactionCostExpectationFunction()
{
return _r1ToR1TransactionCostExpectation;
}
/**
* Retrieve the Transaction Cost Variance Function
*
* @return The Transaction Cost Variance Function
*/
public org.drip.function.definition.R1ToR1 transactionCostVarianceFunction()
{
return _r1ToR1TransactionCostVariance;
}
}