TransactionChargeMarketImpact.java

  1. package org.drip.portfolioconstruction.cost;

  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.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>TransactionChargeMarketImpact</i> contains the Parameters for the Power Law Transaction Charge Scheme.
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  85.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  86.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
  87.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/cost/README.md">Transaction Charge Objective Term Suite</a></li>
  88.  *  </ul>
  89.  * <br><br>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class TransactionChargeMarketImpact extends org.drip.portfolioconstruction.cost.TransactionCharge
  95. {
  96.     private double _exponent = java.lang.Double.NaN;
  97.     private double _coefficient = java.lang.Double.NaN;

  99.     /**
  100.      * Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance
  101.      * 
  102.      * @param name Transaction Charge Name
  103.      * @param id Transaction Charge ID
  104.      * @param description Description of the Transaction Charge
  105.      * @param coefficient Transaction Charge Coefficient
  106.      * 
  107.      * @return The Two-Third's Power Law TransactionChargeMarketImpact Instance
  108.      */

  110.     public static final TransactionChargeMarketImpact TwoThirdsPowerLaw (
  111.         final java.lang.String name,
  112.         final java.lang.String id,
  113.         final java.lang.String description,
  114.         final double coefficient)
  115.     {
  116.         try
  117.         {
  118.             return new TransactionChargeMarketImpact (
  119.                 name,
  120.                 id,
  121.                 description,
  122.                 coefficient,
  123.                 2. / 3.
  124.             );
  125.         }
  126.         catch (java.lang.Exception e)
  127.         {
  128.             e.printStackTrace();
  129.         }

  131.         return null;
  132.     }

  134.     /**
  135.      * Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
  136.      * 
  137.      * @param name Transaction Charge Name
  138.      * @param id Transaction Charge ID
  139.      * @param description Description of the Transaction Charge
  140.      * @param coefficient Transaction Charge Coefficient
  141.      * 
  142.      * @return The Three-Fifth's Power Law TransactionChargeMarketImpact Instance
  143.      */

  145.     public static final TransactionChargeMarketImpact ThreeFifthsPowerLaw (
  146.         final java.lang.String name,
  147.         final java.lang.String id,
  148.         final java.lang.String description,
  149.         final double coefficient)
  150.     {
  151.         try
  152.         {
  153.             return new TransactionChargeMarketImpact (
  154.                 name,
  155.                 id,
  156.                 description,
  157.                 coefficient,
  158.                 3. / 5.
  159.             );
  160.         }
  161.         catch (java.lang.Exception e)
  162.         {
  163.             e.printStackTrace();
  164.         }

  166.         return null;
  167.     }

  169.     /**
  170.      * TransactionChargeMarketImpact Constructor
  171.      * 
  172.      * @param name Transaction Charge Name
  173.      * @param id Transaction Charge ID
  174.      * @param description Description of the Transaction Charge
  175.      * @param coefficient Transaction Charge Coefficient
  176.      * @param exponent Transaction Charge Exponent
  177.      * 
  178.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  179.      */

  181.      public TransactionChargeMarketImpact (
  182.         final java.lang.String name,
  183.         final java.lang.String id,
  184.         final java.lang.String description,
  185.         final double coefficient,
  186.         final double exponent)
  187.         throws java.lang.Exception
  188.     {
  189.         super (
  190.             name,
  191.             id,
  192.             description
  193.         );

  195.         if (!org.drip.numerical.common.NumberUtil.IsValid (_coefficient = coefficient) ||
  196.                 0. > _coefficient ||
  197.             !org.drip.numerical.common.NumberUtil.IsValid (_exponent = exponent) || 0. > _exponent)
  198.         {
  199.             throw new java.lang.Exception
  200.                 ("TransactionChargeMarketImpact Constuctor => Invalid Linear Charge");
  201.         }
  202.     }

  204.     /**
  205.      * Retrieve the Transaction Charge Coefficient
  206.      * 
  207.      * @return The Transaction Charge Coefficient
  208.      */

  210.     public double coefficient()
  211.     {
  212.         return _coefficient;
  213.     }

  215.     /**
  216.      * Retrieve the Transaction Charge Exponent
  217.      * 
  218.      * @return The Transaction Charge Exponent
  219.      */

  221.     public double exponent()
  222.     {
  223.         return _exponent;
  224.     }

  226.     @Override public double estimate (
  227.         final double initialSize,
  228.         final double finalSize)
  229.         throws java.lang.Exception
  230.     {
  231.         if (!org.drip.numerical.common.NumberUtil.IsValid (initialSize) ||
  232.             !org.drip.numerical.common.NumberUtil.IsValid (finalSize))
  233.         {
  234.             throw new java.lang.Exception ("TransactionChargeMarketImpact::estimate => Invalid Inputs");
  235.         }

  237.         return _coefficient * java.lang.Math.pow (
  238.             java.lang.Math.abs (
  239.                 finalSize - initialSize
  240.             ),
  241.             _exponent
  242.         );
  243.     }
  244. }
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