jacoco/org.drip.execution.discrete/OptimalSerialCorrelationAdjustment.java.html

<?xml version="1.0" encoding="UTF-8"?><!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml" lang="en"><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8"/><link rel="stylesheet" href="../jacoco-resources/report.css" type="text/css"/><link rel="shortcut icon" href="../jacoco-resources/report.gif" type="image/gif"/><title>OptimalSerialCorrelationAdjustment.java</title><link rel="stylesheet" href="../jacoco-resources/prettify.css" type="text/css"/><script type="text/javascript" src="../jacoco-resources/prettify.js"></script></head><body onload="window['PR_TAB_WIDTH']=4;prettyPrint()"><div class="breadcrumb" id="breadcrumb"><span class="info"><a href="../jacoco-sessions.html" class="el_session">Sessions</a></span><a href="../index.html" class="el_report">DROP</a> &gt; <a href="index.source.html" class="el_package">org.drip.execution.discrete</a> &gt; <span class="el_source">OptimalSerialCorrelationAdjustment.java</span></div><h1>OptimalSerialCorrelationAdjustment.java</h1><pre class="source lang-java linenums">
package org.drip.execution.discrete;

/*
 * -*- 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                     =&gt; https://lakshmidrip.github.io/DROP/
 * 	- Wiki                     =&gt; https://github.com/lakshmiDRIP/DROP/wiki
 * 	- GitHub                   =&gt; https://github.com/lakshmiDRIP/DROP
 * 	- Repo Layout Taxonomy     =&gt; https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 * 	- Javadoc                  =&gt; https://lakshmidrip.github.io/DROP/Javadoc/index.html
 * 	- Technical Specifications =&gt; https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 * 	- Release Versions         =&gt; https://lakshmidrip.github.io/DROP/version.html
 * 	- Community Credits        =&gt; https://lakshmidrip.github.io/DROP/credits.html
 * 	- Issues Catalog           =&gt; https://github.com/lakshmiDRIP/DROP/issues
 * 	- JUnit                    =&gt; https://lakshmidrip.github.io/DROP/junit/index.html
 * 	- Jacoco                   =&gt; https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the &quot;License&quot;);
 *   	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 &quot;AS IS&quot; 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.
 */

/**
 * &lt;i&gt;OptimalSerialCorrelationAdjustment&lt;/i&gt; contains an Estimate of the Optimal Adjustments attributable to
 * Cross Period Serial Price Correlations over the Slice Time Interval. The References are:
 * 
 * &lt;br&gt;&lt;br&gt;
 * 	&lt;ul&gt;
 * 		&lt;li&gt;
 * 			Almgren, R., and N. Chriss (1999): Value under Liquidation &lt;i&gt;Risk&lt;/i&gt; &lt;b&gt;12 (12)&lt;/b&gt;
 * 		&lt;/li&gt;
 * 		&lt;li&gt;
 * 			Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions &lt;i&gt;Journal of
 * 				Risk&lt;/i&gt; &lt;b&gt;3 (2)&lt;/b&gt; 5-39
 * 		&lt;/li&gt;
 * 		&lt;li&gt;
 * 			Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs &lt;i&gt;Journal of Financial
 * 				Markets&lt;/i&gt; &lt;b&gt;1&lt;/b&gt; 1-50
 * 		&lt;/li&gt;
 * 		&lt;li&gt;
 * 			Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional
 * 				Trades &lt;i&gt;Journal of Finance&lt;/i&gt; &lt;b&gt;50&lt;/b&gt; 1147-1174
 * 		&lt;/li&gt;
 * 		&lt;li&gt;
 * 			Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange
 * 				Analysis of Institutional Equity Trades &lt;i&gt;Journal of Financial Economics&lt;/i&gt; &lt;b&gt;46&lt;/b&gt;
 * 				265-292
 * 		&lt;/li&gt;
 * 	&lt;/ul&gt;
 *
 *	&lt;br&gt;&lt;br&gt;
 *  &lt;ul&gt;
 *		&lt;li&gt;&lt;b&gt;Module &lt;/b&gt; = &lt;a href = &quot;https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md&quot;&gt;Product Core Module&lt;/a&gt;&lt;/li&gt;
 *		&lt;li&gt;&lt;b&gt;Library&lt;/b&gt; = &lt;a href = &quot;https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md&quot;&gt;Transaction Cost Analytics&lt;/a&gt;&lt;/li&gt;
 *		&lt;li&gt;&lt;b&gt;Project&lt;/b&gt; = &lt;a href = &quot;https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/README.md&quot;&gt;Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic&lt;/a&gt;&lt;/li&gt;
 *		&lt;li&gt;&lt;b&gt;Package&lt;/b&gt; = &lt;a href = &quot;https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/execution/discrete/README.md&quot;&gt;Trajectory Slice Execution Cost Distribution&lt;/a&gt;&lt;/li&gt;
 *  &lt;/ul&gt;
 * 
 * @author Lakshmi Krishnamurthy
 */

public class OptimalSerialCorrelationAdjustment {
<span class="fc" id="L121">	private double _dblGain = java.lang.Double.NaN;</span>
<span class="fc" id="L122">	private double _dblHoldingsShift = java.lang.Double.NaN;</span>

	/**
	 * OptimalSerialCorrelationAdjustment Constructor
	 * 
	 * @param dblHoldingsShift The Optimal Holdings Shift
	 * @param dblGain The Optimal Gain
	 * 
	 * @throws java.lang.Exception Thrown if the Inputs are Invalid
	 */

	public OptimalSerialCorrelationAdjustment (
		final double dblHoldingsShift,
		final double dblGain)
		throws java.lang.Exception
<span class="fc" id="L137">	{</span>
<span class="pc bpc" id="L138" title="1 of 2 branches missed.">		if (!org.drip.numerical.common.NumberUtil.IsValid (_dblHoldingsShift = dblHoldingsShift) ||</span>
<span class="pc bpc" id="L139" title="1 of 2 branches missed.">			!org.drip.numerical.common.NumberUtil.IsValid (_dblGain = dblGain))</span>
<span class="nc" id="L140">			throw new java.lang.Exception</span>
				(&quot;OptimalSerialCorrelationAdjustment Contructor =&gt; Invalid Inputs&quot;);
<span class="fc" id="L142">	}</span>

	/**
	 * Retrieve the Optimal Gain
	 * 
	 * @return The Optimal Gain
	 */

	public double gain()
	{
<span class="fc" id="L152">		return _dblGain;</span>
	}

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

	public double holdingsShift()
	{
<span class="fc" id="L163">		return _dblHoldingsShift;</span>
	}
}
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