ContinuousTradingTrajectory.java

  1. package org.drip.execution.strategy;

  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>ContinuousTradingTrajectory</i> holds the Continuous Trajectory of a Trading Block that is to be
  82.  * executed over the Specified Horizon. The References are:
  83.  * 
  84.  * <br>
  85.  *  <ul>
  86.  *      <li>
  87.  *          Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
  88.  *      </li>
  89.  *      <li>
  90.  *          Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  91.  *              Risk</i> <b>3 (2)</b> 5-39
  92.  *      </li>
  93.  *      <li>
  94.  *          Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
  95.  *              Markets</i> <b>1</b> 1-50
  96.  *      </li>
  97.  *      <li>
  98.  *          Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional
  99.  *              Trades <i>Journal of Finance</i> <b>50</b> 1147-1174
  100.  *      </li>
  101.  *      <li>
  102.  *          Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange
  103.  *              Analysis of Institutional Equity Trades <i>Journal of Financial Economics</i> <b>46</b>
  104.  *              265-292
  105.  *      </li>
  106.  *  </ul>
  107.  *
  108.  *  <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  112.  *      <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>
  113.  *      <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>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class ContinuousTradingTrajectory implements org.drip.execution.strategy.TradingTrajectory {
  120.     private double _dblExecutionTime = java.lang.Double.NaN;
  121.     private org.drip.function.definition.R1ToR1 _r1ToR1Holdings = null;
  122.     private org.drip.function.definition.R1ToR1 _r1ToR1TradeRate = null;
  123.     private org.drip.function.definition.R1ToR1 _r1ToR1TransactionCostVariance = null;
  124.     private org.drip.function.definition.R1ToR1 _r1ToR1TransactionCostExpectation = null;

  126.     /**
  127.      * Construct a Standard Instance of ContinuousTradingTrajectory
  128.      * 
  129.      * @param dblExecutionTime The Execution Time
  130.      * @param r1ToR1Holdings The Holdings Function
  131.      * @param r1ToR1TransactionCostExpectation The Transaction Cost Expectation Function
  132.      * @param r1ToR1TransactionCostVariance The Transaction Cost Variance Function
  133.      * 
  134.      * @return Standard Instance of ContinuousTradingTrajectory
  135.      */

  137.     public static final ContinuousTradingTrajectory Standard (
  138.         final double dblExecutionTime,
  139.         final org.drip.function.definition.R1ToR1 r1ToR1Holdings,
  140.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostExpectation,
  141.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostVariance)
  142.     {
  143.         if (null == r1ToR1Holdings) return null;

  145.         org.drip.function.definition.R1ToR1 r1ToR1TradeRate = new org.drip.function.definition.R1ToR1 (null)
  146.         {
  147.             @Override public double evaluate (
  148.                 final double dblVariate)
  149.                 throws java.lang.Exception
  150.             {
  151.                 return r1ToR1Holdings.derivative (dblVariate, 1);
  152.             }
  153.         };

  155.         try {
  156.             return new ContinuousTradingTrajectory (dblExecutionTime, r1ToR1Holdings, r1ToR1TradeRate,
  157.                 r1ToR1TransactionCostExpectation, r1ToR1TransactionCostVariance);
  158.         } catch (java.lang.Exception e) {
  159.             e.printStackTrace();
  160.         }

  162.         return null;
  163.     }

  165.     /**
  166.      * ContinuousTradingTrajectory Constructor
  167.      * 
  168.      * @param dblExecutionTime The Execution Time
  169.      * @param r1ToR1Holdings The Holdings Function
  170.      * @param r1ToR1TradeRate The Trade Rate Function
  171.      * @param r1ToR1TransactionCostExpectation The Transaction Cost Expectation Function
  172.      * @param r1ToR1TransactionCostVariance The Transaction Cost Variance Function
  173.      * 
  174.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  175.      */

  177.     public ContinuousTradingTrajectory (
  178.         final double dblExecutionTime,
  179.         final org.drip.function.definition.R1ToR1 r1ToR1Holdings,
  180.         final org.drip.function.definition.R1ToR1 r1ToR1TradeRate,
  181.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostExpectation,
  182.         final org.drip.function.definition.R1ToR1 r1ToR1TransactionCostVariance)
  183.         throws java.lang.Exception
  184.     {
  185.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblExecutionTime = dblExecutionTime) || 0. >=
  186.             _dblExecutionTime || null == (_r1ToR1Holdings = r1ToR1Holdings) || null == (_r1ToR1TradeRate =
  187.                 r1ToR1TradeRate) || null == (_r1ToR1TransactionCostExpectation =
  188.                     r1ToR1TransactionCostExpectation) || null == (_r1ToR1TransactionCostVariance =
  189.                         r1ToR1TransactionCostVariance))
  190.             throw new java.lang.Exception ("ContinuousTradingTrajectory Constructor => Invalid Inputs");
  191.     }

  193.     @Override public double tradeSize()
  194.     {
  195.         try {
  196.             return _r1ToR1Holdings.evaluate (0.);
  197.         } catch (java.lang.Exception e) {
  198.             e.printStackTrace();
  199.         }

  201.         return 0.;
  202.     }

  204.     @Override public double executedBlockSize()
  205.     {
  206.         try {
  207.             return _r1ToR1Holdings.evaluate (0.) - _r1ToR1Holdings.evaluate (_dblExecutionTime);
  208.         } catch (java.lang.Exception e) {
  209.             e.printStackTrace();
  210.         }

  212.         return 0.;
  213.     }

  215.     @Override public double executionTime()
  216.     {
  217.         return _dblExecutionTime;
  218.     }

  220.     @Override public double instantTradeRate()
  221.     {
  222.         return executedBlockSize() / executionTime();
  223.     }

  225.     /**
  226.      * Retrieve the Holdings Function
  227.      * 
  228.      * @return The Holdings Function
  229.      */

  231.     public org.drip.function.definition.R1ToR1 holdings()
  232.     {
  233.         return _r1ToR1Holdings;
  234.     }

  236.     /**
  237.      * Retrieve the Trade Rate Function
  238.      * 
  239.      * @return The Trade Rate Function
  240.      */

  242.     public org.drip.function.definition.R1ToR1 tradeRate()
  243.     {
  244.         return _r1ToR1TradeRate;
  245.     }

  247.     /**
  248.      * Retrieve the Transaction Cost Expectation Function
  249.      * 
  250.      * @return The Transaction Cost Expectation Function
  251.      */

  253.     public org.drip.function.definition.R1ToR1 transactionCostExpectationFunction()
  254.     {
  255.         return _r1ToR1TransactionCostExpectation;
  256.     }

  258.     /**
  259.      * Retrieve the Transaction Cost Variance Function
  260.      * 
  261.      * @return The Transaction Cost Variance Function
  262.      */

  264.     public org.drip.function.definition.R1ToR1 transactionCostVarianceFunction()
  265.     {
  266.         return _r1ToR1TransactionCostVariance;
  267.     }
  268. }
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