MinimumImpactTradingTrajectory.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>MinimumImpactTradingTrajectory</i> holds the Trajectory of a Trading Block that is to be executed
 * uniformly over Equal Intervals, the Idea being to minimize the Trading Impact. The References are:
 * 
 * <br><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 MinimumImpactTradingTrajectory extends org.drip.execution.strategy.DiscreteTradingTrajectory {

    /**
     * Create a MinimumImpactTradingTrajectory Instance from Equal Intervals
     * 
     * @param dblStartHoldings Trajectory Start Holdings
     * @param dblFinishHoldings Trajectory Finish Holdings
     * @param dblStartTime Trajectory Start Time
     * @param dblFinishTime Trajectory Finish Time
     * @param iNumInterval The Number of Fixed Intervals
     * 
     * @return The MinimumImpactTradingTrajectory Instance from Fixed Intervals
     */

    public static final MinimumImpactTradingTrajectory Standard (
        final double dblStartHoldings,
        final double dblFinishHoldings,
        final double dblStartTime,
        final double dblFinishTime,
        final int iNumInterval)
    {
        if (!org.drip.numerical.common.NumberUtil.IsValid (dblStartHoldings) ||
            !org.drip.numerical.common.NumberUtil.IsValid (dblFinishHoldings) ||
                !org.drip.numerical.common.NumberUtil.IsValid (dblStartTime) ||
                    !org.drip.numerical.common.NumberUtil.IsValid (dblFinishTime) || dblStartTime >=
                        dblFinishTime || 0 >= iNumInterval)
            return null;

        double dblTradeList = (dblFinishHoldings - dblStartHoldings) / iNumInterval;
        double dblTimeInterval = (dblFinishTime - dblStartTime) / iNumInterval;
        double[] adblExecutionTimeNode = new double[iNumInterval + 1];
        double[] adblHoldings = new double[iNumInterval + 1];
        adblExecutionTimeNode[iNumInterval] = dblFinishTime;
        double[] adblTradeList = new double[iNumInterval];
        adblHoldings[iNumInterval] = dblFinishHoldings;
        adblExecutionTimeNode[0] = dblStartTime;
        adblHoldings[0] = dblStartHoldings;
        adblTradeList[0] = dblTradeList;

        for (int i = 1; i < iNumInterval; ++i) {
            adblTradeList[i] = dblTradeList;
            adblHoldings[i] = dblStartHoldings + i * dblTradeList;
            adblExecutionTimeNode[i] = dblStartTime + i * dblTimeInterval;
        }

        try {
            return new MinimumImpactTradingTrajectory (adblExecutionTimeNode, adblHoldings, adblTradeList);
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    protected MinimumImpactTradingTrajectory (
        final double[] adblExecutionTimeNode,
        final double[] adblHoldings,
        final double[] adblTradeList)
        throws java.lang.Exception
    {
        super (adblExecutionTimeNode, adblHoldings, adblTradeList);
    }

    /**
     * Retrieve the Trade Size
     * 
     * @return The Trade Size
     */

    public double tradeSize()
    {
        double[] adblHoldings = holdings();

        return adblHoldings[1] - adblHoldings[0];
    }

    /**
     * Retrieve the Trade Time Interval
     * 
     * @return The Trade Time Interval
     */

    public double tradeTimeInterval()
    {
        double[] adblExecutionTimeNode = executionTimeNode();

        return adblExecutionTimeNode[1] - adblExecutionTimeNode[0];
    }

    /**
     * Retrieve the Trade Rate
     * 
     * @return The Trade Rate
     */

    public double tradeRate()
    {
        double[] adblHoldings = holdings();

        double[] adblExecutionTimeNode = executionTimeNode();

        return (adblHoldings[1] - adblHoldings[0]) / (adblExecutionTimeNode[1] - adblExecutionTimeNode[0]);
    }
}