VolumeTimeFrame.java

package org.drip.execution.tradingtime;

/*
 * -*- 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>VolumeTimeFrame</i> implements the Pre- and Post-transformed Increment in the Volume Time Space as used
 * in the "Trading Time" Model. The References are:
 * 
 * <br><br>
 *  <ul>
 *      <li>
 *          Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions <i>Journal of
 *              Risk</i> <b>3 (2)</b> 5-39
 *      </li>
 *      <li>
 *          Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
 *              https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
 *      </li>
 *      <li>
 *          Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility <i>SIAM Journal
 *          of Financial Mathematics</i> <b>3 (1)</b> 163-181
 *      </li>
 *      <li>
 *          Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes <i>Mathematical
 *              Finance</i> <b>11 (1)</b> 79-96
 *      </li>
 *      <li>
 *          Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility <i>Review of
 *              Financial Studies</i> <b>7 (4)</b> 631-651
 *      </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/tradingtime/README.md">Coordinated Variation Trading Time Models</a></li>
 *  </ul>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class VolumeTimeFrame extends org.drip.measure.realization.JumpDiffusionEdge {
    private double _dblHoldings = java.lang.Double.NaN;
    private double _dblTradeRate = java.lang.Double.NaN;

    /**
     * VolumeTimeFrame Constructor
     * 
     * @param dblTimeIncrement Time Increment
     * @param dblPrevious The Previous Realization
     * @param dblTemporal The Temporal Increment
     * @param dblBrownian The Brownian Increment
     * @param dblVolatility The Volatility
     * @param dblHoldings Current Holdings
     * @param dblTradeRate Current Trade Rate
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public VolumeTimeFrame (
        final double dblTimeIncrement,
        final double dblPrevious,
        final double dblTemporal,
        final double dblBrownian,
        final double dblVolatility,
        final double dblHoldings,
        final double dblTradeRate)
        throws java.lang.Exception
    {
        super (dblPrevious, dblVolatility * dblVolatility * dblTemporal, new
            org.drip.measure.realization.StochasticEdgeDiffusion (dblVolatility * dblBrownian), null, new
                org.drip.measure.realization.JumpDiffusionEdgeUnit (dblTimeIncrement, dblBrownian, 0.));

        if (!org.drip.numerical.common.NumberUtil.IsValid (_dblHoldings = dblHoldings) ||
            !org.drip.numerical.common.NumberUtil.IsValid (_dblTradeRate = dblTradeRate / (dblVolatility *
                dblVolatility)))
            throw new java.lang.Exception ("VolumeTimeFrame Constructor => Invalid Inputs!");
    }

    /**
     * Retrieve the Holdings
     * 
     * @return The Holdings
     */

    public double holdings()
    {
        return _dblHoldings;
    }

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

    public double tradeRate()
    {
        return _dblTradeRate;
    }

    /**
     * Generate the Transaction Cost Increment
     * 
     * @param cv The Coordinated Variation Parameters
     * 
     * @return The Transaction Cost Increment
     * 
     * @throws java.lang.Exception Throw if the Inputs are Invalid
     */

    public double transactionCostIncrement (
        final org.drip.execution.tradingtime.CoordinatedVariation cv)
        throws java.lang.Exception
    {
        if (null == cv)
            throw new java.lang.Exception ("VolumeTimeFrame::transactionCostIncrement => Invalid Inputs");

        return _dblHoldings * diffusionStochastic() + cv.invariant() * _dblTradeRate * _dblTradeRate *
            deterministic();
    }
}