DiscreteTradingTrajectory.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>DiscreteTradingTrajectory</i> holds the Trajectory of a Trading Block that is to be executed over a
  82.  * Discrete Time Set. 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 DiscreteTradingTrajectory implements org.drip.execution.strategy.TradingTrajectory {
  120.     private double[] _adblHoldings = null;
  121.     private double[] _adblTradeList = null;
  122.     private double[] _adblExecutionTimeNode = null;

  124.     /**
  125.      * Construct a Standard DiscreteTradingTrajectory Instance
  126.      * 
  127.      * @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
  128.      * @param adblHoldings Array containing the Holdings
  129.      * 
  130.      * @return The DiscreteTradingTrajectory Instance
  131.      */

  133.     public static DiscreteTradingTrajectory Standard (
  134.         final double[] adblExecutionTimeNode,
  135.         final double[] adblHoldings)
  136.     {
  137.         if (null == adblHoldings) return null;

  139.         int iNumExecutionTime = adblHoldings.length;
  140.         double[] adblTradeList = 1 >= iNumExecutionTime ? null : new double[iNumExecutionTime - 1];

  142.         if (1 >= iNumExecutionTime) return null;

  144.         for (int i = 0; i < iNumExecutionTime - 1; ++i)
  145.             adblTradeList[i] = adblHoldings[i + 1] - adblHoldings[i];

  147.         try {
  148.             return new DiscreteTradingTrajectory (adblExecutionTimeNode, adblHoldings, adblTradeList);
  149.         } catch (java.lang.Exception e) {
  150.             e.printStackTrace();
  151.         }

  153.         return null;
  154.     }

  156.     /**
  157.      * Construct a Linear DiscreteTradingTrajectory Instance
  158.      * 
  159.      * @param adblExecutionTimeNode Array of the Execution Time Nodes
  160.      * @param dblStartHoldings Trajectory Start Holdings
  161.      * @param dblFinishHoldings Trajectory Finish Holdings
  162.      * 
  163.      * @return The Linear TradingTrajectory Instance
  164.      */

  166.     public static final DiscreteTradingTrajectory Linear (
  167.         final double[] adblExecutionTimeNode,
  168.         final double dblStartHoldings,
  169.         final double dblFinishHoldings)
  170.     {
  171.         if (null == adblExecutionTimeNode || !org.drip.numerical.common.NumberUtil.IsValid
  172.             (adblExecutionTimeNode) || !org.drip.numerical.common.NumberUtil.IsValid (dblStartHoldings) ||
  173.                 !org.drip.numerical.common.NumberUtil.IsValid (dblFinishHoldings))
  174.             return null;

  176.         int iNumNode = adblExecutionTimeNode.length;
  177.         double[] adblHoldings = 1 >= iNumNode ? null : new double[iNumNode];
  178.         double dblHoldingsChangeRate = (dblFinishHoldings - dblStartHoldings) /
  179.             (adblExecutionTimeNode[iNumNode - 1] - adblExecutionTimeNode[0]);

  181.         if (1 >= iNumNode) return null;

  183.         for (int i = 0; i < iNumNode; ++i)
  184.             adblHoldings[i] = dblStartHoldings + dblHoldingsChangeRate * i;

  186.         return DiscreteTradingTrajectory.Standard (adblExecutionTimeNode, adblHoldings);
  187.     }

  189.     /**
  190.      * DiscreteTradingTrajectory Constructor
  191.      * 
  192.      * @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
  193.      * @param adblHoldings Array containing the Holdings
  194.      * @param adblTradeList Array containing the Trade List
  195.      * 
  196.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  197.      */

  199.     public DiscreteTradingTrajectory (
  200.         final double[] adblExecutionTimeNode,
  201.         final double[] adblHoldings,
  202.         final double[] adblTradeList)
  203.         throws java.lang.Exception
  204.     {
  205.         if (null == (_adblHoldings = adblHoldings) || null == (_adblTradeList = adblTradeList) || null ==
  206.             (_adblExecutionTimeNode = adblExecutionTimeNode))
  207.             throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");

  209.         int iNumExecutionTime = _adblExecutionTimeNode.length;

  211.         if (1 >= iNumExecutionTime || iNumExecutionTime != _adblHoldings.length || iNumExecutionTime - 1 !=
  212.             _adblTradeList.length || !org.drip.numerical.common.NumberUtil.IsValid (_adblHoldings[0]) ||
  213.                 !org.drip.numerical.common.NumberUtil.IsValid (_adblExecutionTimeNode[0]))
  214.             throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");

  216.         for (int i = 1; i < iNumExecutionTime; ++i) {
  217.             if (!org.drip.numerical.common.NumberUtil.IsValid (_adblHoldings[i]) ||
  218.                 !org.drip.numerical.common.NumberUtil.IsValid (_adblTradeList[i - 1]) ||
  219.                     !org.drip.numerical.common.NumberUtil.IsValid (_adblExecutionTimeNode[i]) ||
  220.                         _adblExecutionTimeNode[i - 1] >= _adblExecutionTimeNode[i])
  221.                 throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");
  222.         }
  223.     }

  225.     @Override public double tradeSize()
  226.     {
  227.         return _adblHoldings[0];
  228.     }

  230.     @Override public double executedBlockSize()
  231.     {
  232.         return _adblHoldings[_adblHoldings.length - 1] - _adblHoldings[0];
  233.     }

  235.     @Override public double executionTime()
  236.     {
  237.         return _adblExecutionTimeNode[_adblExecutionTimeNode.length - 1] - _adblExecutionTimeNode[0];
  238.     }

  240.     @Override public double instantTradeRate()
  241.     {
  242.         return executedBlockSize() / executionTime();
  243.     }

  245.     /**
  246.      * Retrieve the Array containing the Execution Time Nodes Sequence
  247.      * 
  248.      * @return The Array containing the Execution Time Nodes Sequence
  249.      */

  251.     public double[] executionTimeNode()
  252.     {
  253.         return _adblExecutionTimeNode;
  254.     }

  256.     /**
  257.      * Retrieve the Array of the Number of Units Outstanding
  258.      * 
  259.      * @return The Array of the Number of Units Outstanding
  260.      */

  262.     public double[] holdings()
  263.     {
  264.         return _adblHoldings;
  265.     }

  267.     /**
  268.      * Retrieve the Trade List, i.e., the Array of the Number of Units executed
  269.      * 
  270.      * @return The Trade List, i.e., the Array of the Number of Units executed
  271.      */

  273.     public double[] tradeList()
  274.     {
  275.         return _adblTradeList;
  276.     }

  278.     /**
  279.      * Retrieve the Number of Trades
  280.      * 
  281.      * @return The Number of Trades
  282.      */

  284.     public int numberOfTrades()
  285.     {
  286.         return _adblHoldings.length - 1;
  287.     }

  289.     /**
  290.      * Retrieve the Array of the Inner Holdings
  291.      * 
  292.      * @return The Array of the Inner Holdings
  293.      */

  295.     public double[] innerHoldings()
  296.     {
  297.         int iNumInnerHoldings = _adblHoldings.length - 2;
  298.         double[] adblInnerHoldings = new double[iNumInnerHoldings];

  300.         for (int i = 0; i < iNumInnerHoldings; ++i)
  301.             adblInnerHoldings[i] = _adblHoldings[i + 1];

  303.         return adblInnerHoldings;
  304.     }
  305. }
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