DiscreteTradingTrajectory.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>DiscreteTradingTrajectory</i> holds the Trajectory of a Trading Block that is to be executed over a
* Discrete Time Set. 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 DiscreteTradingTrajectory implements org.drip.execution.strategy.TradingTrajectory {
private double[] _adblHoldings = null;
private double[] _adblTradeList = null;
private double[] _adblExecutionTimeNode = null;
/**
* Construct a Standard DiscreteTradingTrajectory Instance
*
* @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
* @param adblHoldings Array containing the Holdings
*
* @return The DiscreteTradingTrajectory Instance
*/
public static DiscreteTradingTrajectory Standard (
final double[] adblExecutionTimeNode,
final double[] adblHoldings)
{
if (null == adblHoldings) return null;
int iNumExecutionTime = adblHoldings.length;
double[] adblTradeList = 1 >= iNumExecutionTime ? null : new double[iNumExecutionTime - 1];
if (1 >= iNumExecutionTime) return null;
for (int i = 0; i < iNumExecutionTime - 1; ++i)
adblTradeList[i] = adblHoldings[i + 1] - adblHoldings[i];
try {
return new DiscreteTradingTrajectory (adblExecutionTimeNode, adblHoldings, adblTradeList);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* Construct a Linear DiscreteTradingTrajectory Instance
*
* @param adblExecutionTimeNode Array of the Execution Time Nodes
* @param dblStartHoldings Trajectory Start Holdings
* @param dblFinishHoldings Trajectory Finish Holdings
*
* @return The Linear TradingTrajectory Instance
*/
public static final DiscreteTradingTrajectory Linear (
final double[] adblExecutionTimeNode,
final double dblStartHoldings,
final double dblFinishHoldings)
{
if (null == adblExecutionTimeNode || !org.drip.numerical.common.NumberUtil.IsValid
(adblExecutionTimeNode) || !org.drip.numerical.common.NumberUtil.IsValid (dblStartHoldings) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblFinishHoldings))
return null;
int iNumNode = adblExecutionTimeNode.length;
double[] adblHoldings = 1 >= iNumNode ? null : new double[iNumNode];
double dblHoldingsChangeRate = (dblFinishHoldings - dblStartHoldings) /
(adblExecutionTimeNode[iNumNode - 1] - adblExecutionTimeNode[0]);
if (1 >= iNumNode) return null;
for (int i = 0; i < iNumNode; ++i)
adblHoldings[i] = dblStartHoldings + dblHoldingsChangeRate * i;
return DiscreteTradingTrajectory.Standard (adblExecutionTimeNode, adblHoldings);
}
/**
* DiscreteTradingTrajectory Constructor
*
* @param adblExecutionTimeNode Array containing the Trajectory Time Nodes
* @param adblHoldings Array containing the Holdings
* @param adblTradeList Array containing the Trade List
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public DiscreteTradingTrajectory (
final double[] adblExecutionTimeNode,
final double[] adblHoldings,
final double[] adblTradeList)
throws java.lang.Exception
{
if (null == (_adblHoldings = adblHoldings) || null == (_adblTradeList = adblTradeList) || null ==
(_adblExecutionTimeNode = adblExecutionTimeNode))
throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");
int iNumExecutionTime = _adblExecutionTimeNode.length;
if (1 >= iNumExecutionTime || iNumExecutionTime != _adblHoldings.length || iNumExecutionTime - 1 !=
_adblTradeList.length || !org.drip.numerical.common.NumberUtil.IsValid (_adblHoldings[0]) ||
!org.drip.numerical.common.NumberUtil.IsValid (_adblExecutionTimeNode[0]))
throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");
for (int i = 1; i < iNumExecutionTime; ++i) {
if (!org.drip.numerical.common.NumberUtil.IsValid (_adblHoldings[i]) ||
!org.drip.numerical.common.NumberUtil.IsValid (_adblTradeList[i - 1]) ||
!org.drip.numerical.common.NumberUtil.IsValid (_adblExecutionTimeNode[i]) ||
_adblExecutionTimeNode[i - 1] >= _adblExecutionTimeNode[i])
throw new java.lang.Exception ("DiscreteTradingTrajectory Constructor => Invalid Inputs!");
}
}
@Override public double tradeSize()
{
return _adblHoldings[0];
}
@Override public double executedBlockSize()
{
return _adblHoldings[_adblHoldings.length - 1] - _adblHoldings[0];
}
@Override public double executionTime()
{
return _adblExecutionTimeNode[_adblExecutionTimeNode.length - 1] - _adblExecutionTimeNode[0];
}
@Override public double instantTradeRate()
{
return executedBlockSize() / executionTime();
}
/**
* Retrieve the Array containing the Execution Time Nodes Sequence
*
* @return The Array containing the Execution Time Nodes Sequence
*/
public double[] executionTimeNode()
{
return _adblExecutionTimeNode;
}
/**
* Retrieve the Array of the Number of Units Outstanding
*
* @return The Array of the Number of Units Outstanding
*/
public double[] holdings()
{
return _adblHoldings;
}
/**
* Retrieve the Trade List, i.e., the Array of the Number of Units executed
*
* @return The Trade List, i.e., the Array of the Number of Units executed
*/
public double[] tradeList()
{
return _adblTradeList;
}
/**
* Retrieve the Number of Trades
*
* @return The Number of Trades
*/
public int numberOfTrades()
{
return _adblHoldings.length - 1;
}
/**
* Retrieve the Array of the Inner Holdings
*
* @return The Array of the Inner Holdings
*/
public double[] innerHoldings()
{
int iNumInnerHoldings = _adblHoldings.length - 2;
double[] adblInnerHoldings = new double[iNumInnerHoldings];
for (int i = 0; i < iNumInnerHoldings; ++i)
adblInnerHoldings[i] = _adblHoldings[i + 1];
return adblInnerHoldings;
}
}