OrderSpecification.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>OrderSpecification</i> contains the Parameters that constitute an Order, namely the Size and the
- * Execution Time. 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 OrderSpecification {
- private double _dblSize = java.lang.Double.NaN;
- private double _dblMaxExecutionTime = java.lang.Double.NaN;
- /**
- * OrderSpecification Constructor
- *
- * @param dblSize The Size of the Order
- * @param dblMaxExecutionTime The Maximum Allowed Execution Time of the Order
- *
- * @throws java.lang.Exception Thrown if the inputs are Invalid
- */
- public OrderSpecification (
- final double dblSize,
- final double dblMaxExecutionTime)
- throws java.lang.Exception
- {
- if (!org.drip.numerical.common.NumberUtil.IsValid (_dblSize = dblSize) ||
- !org.drip.numerical.common.NumberUtil.IsValid (_dblMaxExecutionTime = dblMaxExecutionTime) || 0. >=
- _dblMaxExecutionTime)
- throw new java.lang.Exception ("OrderSpecification Constructor => Invalid Inputs");
- }
- /**
- * Retrieve the Maximum Allowed Execution Time
- *
- * @return The Maximum Allowed Execution Time
- */
- public double maxExecutionTime()
- {
- return _dblMaxExecutionTime;
- }
- /**
- * Retrieve the Order Size
- *
- * @return The Order Size
- */
- public double size()
- {
- return _dblSize;
- }
- }