DiscreteTradingTrajectoryControl.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>DiscreteTradingTrajectoryControl</i> holds the Time Trajectory Control Settings of a Trading Block that
  82.  * is to be executed over a Discrete Time Sequence. 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 DiscreteTradingTrajectoryControl {
  120.     private double[] _adblExecutionTimeNode = null;
  121.     private double _dblStartHoldings = java.lang.Double.NaN;

  123.     /**
  124.      * Create a DiscreteTradingTrajectoryControl from Fixed Intervals
  125.      * 
  126.      * @param os The Order Specification
  127.      * @param iNumInterval The Number of Fixed Intervals
  128.      * 
  129.      * @return The DiscreteTradingTrajectoryControl from Fixed Intervals
  130.      */

  132.     public static final DiscreteTradingTrajectoryControl FixedInterval (
  133.         final org.drip.execution.strategy.OrderSpecification os,
  134.         final int iNumInterval)
  135.     {
  136.         if (null == os || 0 >= iNumInterval) return null;

  138.         double dblFinishTime = os.maxExecutionTime();

  140.         double dblTimeInterval = dblFinishTime / iNumInterval;
  141.         double[] adblExecutionTimeNode = new double[iNumInterval + 1];
  142.         adblExecutionTimeNode[iNumInterval] = dblFinishTime;
  143.         adblExecutionTimeNode[0] = 0.;

  145.         for (int i = 1; i < iNumInterval; ++i)
  146.             adblExecutionTimeNode[i] = i * dblTimeInterval;

  148.         try {
  149.             return new DiscreteTradingTrajectoryControl (os.size(), adblExecutionTimeNode);
  150.         } catch (java.lang.Exception e) {
  151.             e.printStackTrace();
  152.         }

  154.         return null;
  155.     }

  157.     /**
  158.      * Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
  159.      * 
  160.      * @param os The Order Specification
  161.      * 
  162.      * @return The Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
  163.      */

  165.     public static final DiscreteTradingTrajectoryControl SingleInterval (
  166.         final org.drip.execution.strategy.OrderSpecification os)
  167.     {
  168.         return FixedInterval (os, 1);
  169.     }

  171.     /**
  172.      * DiscreteTradingTrajectoryControl Constructor
  173.      * 
  174.      * @param dblStartHoldings Trajectory Start Holdings
  175.      * @param adblExecutionTimeNode Array of the Trajectory Time Snapshots
  176.      * 
  177.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  178.      */

  180.     public DiscreteTradingTrajectoryControl (
  181.         final double dblStartHoldings,
  182.         final double[] adblExecutionTimeNode)
  183.         throws java.lang.Exception
  184.     {
  185.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblStartHoldings = dblStartHoldings) || null ==
  186.             (_adblExecutionTimeNode = adblExecutionTimeNode))
  187.             throw new java.lang.Exception
  188.                 ("DiscreteTradingTrajectoryControl Constructor => Invalid Inputs!");

  190.         int iNumExecutionTimeNode = _adblExecutionTimeNode.length;

  192.         if (1 >= iNumExecutionTimeNode || !org.drip.numerical.common.NumberUtil.IsValid
  193.             (_adblExecutionTimeNode[0]))
  194.             throw new java.lang.Exception
  195.                 ("DiscreteTradingTrajectoryControl Constructor => Invalid Inputs!");

  197.         for (int i = 1; i < iNumExecutionTimeNode; ++i) {
  198.             if (!org.drip.numerical.common.NumberUtil.IsValid (_adblExecutionTimeNode[i]) ||
  199.                 _adblExecutionTimeNode[i - 1] >= _adblExecutionTimeNode[i])
  200.                 throw new java.lang.Exception
  201.                     ("DiscreteTradingTrajectoryControl Constructor => Invalid Inputs!");
  202.         }
  203.     }

  205.     /**
  206.      * Retrieve the Finish Time of the Trading Trajectory
  207.      * 
  208.      * @return The Finish Time of the Trading Trajectory
  209.      */

  211.     public double finishTime()
  212.     {
  213.         return _adblExecutionTimeNode[_adblExecutionTimeNode.length - 1];
  214.     }

  216.     /**
  217.      * Retrieve the Array containing the Execution Time Nodes
  218.      * 
  219.      * @return The Array containing the Execution Time Nodes
  220.      */

  222.     public double[] executionTimeNodes()
  223.     {
  224.         return _adblExecutionTimeNode;
  225.     }

  227.     /**
  228.      * Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed
  229.      * 
  230.      * @return The Initial Holdings, i.e., the Starting Number of Units to the Executed
  231.      */

  233.     public double startHoldings()
  234.     {
  235.         return _dblStartHoldings;
  236.     }

  238.     /**
  239.      * Generate the Order Specification corresponding to the Trajectory Control
  240.      * 
  241.      * @return The Order Specificaton Instance
  242.      */

  244.     public org.drip.execution.strategy.OrderSpecification order()
  245.     {
  246.         try {
  247.             return new org.drip.execution.strategy.OrderSpecification (_dblStartHoldings, finishTime());
  248.         } catch (java.lang.Exception e) {
  249.             e.printStackTrace();
  250.         }

  252.         return null;
  253.     }
  254. }
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