OrderSpecification.java

  1. package org.drip.execution.strategy;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  11.  *
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  *
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  *
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  *
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  *
  50.  *  Documentation for DROP is Spread Over:
  51.  *
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  *
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *  
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  77. /**
  78.  * <i>OrderSpecification</i> contains the Parameters that constitute an Order, namely the Size and the
  79.  * Execution Time. The References are:
  80.  *
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Almgren, R., and N. Chriss (1999): Value under Liquidation <i>Risk</i> <b>12 (12)</b>
  85.  *      </li>
  86.  *      <li>
  87.  *          Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
  88.  *              Risk</i> <b>3 (2)</b> 5-39
  89.  *      </li>
  90.  *      <li>
  91.  *          Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs <i>Journal of Financial
  92.  *              Markets</i> <b>1</b> 1-50
  93.  *      </li>
  94.  *      <li>
  95.  *          Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional
  96.  *              Trades <i>Journal of Finance</i> <b>50</b> 1147-1174
  97.  *      </li>
  98.  *      <li>
  99.  *          Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange
  100.  *              Analysis of Institutional Equity Trades <i>Journal of Financial Economics</i> <b>46</b>
  101.  *              265-292
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  *
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  115. public class OrderSpecification {
  116.     private double _dblSize = java.lang.Double.NaN;
  117.     private double _dblMaxExecutionTime = java.lang.Double.NaN;

  118.     /**
  119.      * OrderSpecification Constructor
  120.      *
  121.      * @param dblSize The Size of the Order
  122.      * @param dblMaxExecutionTime The Maximum Allowed Execution Time of the Order
  123.      *
  124.      * @throws java.lang.Exception Thrown if the inputs are Invalid
  125.      */

  126.     public OrderSpecification (
  127.         final double dblSize,
  128.         final double dblMaxExecutionTime)
  129.         throws java.lang.Exception
  130.     {
  131.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblSize = dblSize) ||
  132.             !org.drip.numerical.common.NumberUtil.IsValid (_dblMaxExecutionTime = dblMaxExecutionTime) || 0. >=
  133.                 _dblMaxExecutionTime)
  134.             throw new java.lang.Exception ("OrderSpecification Constructor => Invalid Inputs");
  135.     }

  136.     /**
  137.      * Retrieve the Maximum Allowed Execution Time
  138.      *
  139.      * @return The Maximum Allowed Execution Time
  140.      */

  141.     public double maxExecutionTime()
  142.     {
  143.         return _dblMaxExecutionTime;
  144.     }

  145.     /**
  146.      * Retrieve the Order Size
  147.      *
  148.      * @return The Order Size
  149.      */

  150.     public double size()
  151.     {
  152.         return _dblSize;
  153.     }
  154. }