TransactionChargeMarketImpact.java
package org.drip.portfolioconstruction.cost;
/*
* -*- 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
*
* 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>TransactionChargeMarketImpact</i> contains the Parameters for the Power Law Transaction Charge Scheme.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
* <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>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class TransactionChargeMarketImpact extends org.drip.portfolioconstruction.cost.TransactionCharge
{
private double _exponent = java.lang.Double.NaN;
private double _coefficient = java.lang.Double.NaN;
/**
* Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance
*
* @param name Transaction Charge Name
* @param id Transaction Charge ID
* @param description Description of the Transaction Charge
* @param coefficient Transaction Charge Coefficient
*
* @return The Two-Third's Power Law TransactionChargeMarketImpact Instance
*/
public static final TransactionChargeMarketImpact TwoThirdsPowerLaw (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description,
final double coefficient)
{
try
{
return new TransactionChargeMarketImpact (
name,
id,
description,
coefficient,
2. / 3.
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
*
* @param name Transaction Charge Name
* @param id Transaction Charge ID
* @param description Description of the Transaction Charge
* @param coefficient Transaction Charge Coefficient
*
* @return The Three-Fifth's Power Law TransactionChargeMarketImpact Instance
*/
public static final TransactionChargeMarketImpact ThreeFifthsPowerLaw (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description,
final double coefficient)
{
try
{
return new TransactionChargeMarketImpact (
name,
id,
description,
coefficient,
3. / 5.
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* TransactionChargeMarketImpact Constructor
*
* @param name Transaction Charge Name
* @param id Transaction Charge ID
* @param description Description of the Transaction Charge
* @param coefficient Transaction Charge Coefficient
* @param exponent Transaction Charge Exponent
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public TransactionChargeMarketImpact (
final java.lang.String name,
final java.lang.String id,
final java.lang.String description,
final double coefficient,
final double exponent)
throws java.lang.Exception
{
super (
name,
id,
description
);
if (!org.drip.numerical.common.NumberUtil.IsValid (_coefficient = coefficient) ||
0. > _coefficient ||
!org.drip.numerical.common.NumberUtil.IsValid (_exponent = exponent) || 0. > _exponent)
{
throw new java.lang.Exception
("TransactionChargeMarketImpact Constuctor => Invalid Linear Charge");
}
}
/**
* Retrieve the Transaction Charge Coefficient
*
* @return The Transaction Charge Coefficient
*/
public double coefficient()
{
return _coefficient;
}
/**
* Retrieve the Transaction Charge Exponent
*
* @return The Transaction Charge Exponent
*/
public double exponent()
{
return _exponent;
}
@Override public double estimate (
final double initialSize,
final double finalSize)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (initialSize) ||
!org.drip.numerical.common.NumberUtil.IsValid (finalSize))
{
throw new java.lang.Exception ("TransactionChargeMarketImpact::estimate => Invalid Inputs");
}
return _coefficient * java.lang.Math.pow (
java.lang.Math.abs (
finalSize - initialSize
),
_exponent
);
}
}