-
Notifications
You must be signed in to change notification settings - Fork 46
/
Copy pathShortfallIncrementDistribution.java.html
239 lines (218 loc) · 11 KB
/
ShortfallIncrementDistribution.java.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
<?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>ShortfallIncrementDistribution.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> > <a href="index.source.html" class="el_package">org.drip.execution.discrete</a> > <span class="el_source">ShortfallIncrementDistribution.java</span></div><h1>ShortfallIncrementDistribution.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 => 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>ShortfallIncrementDistribution</i> holds the Parameters of the R<sup>1</sup> Normal Short fall
* Increment Distribution. 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/discrete/README.md">Trajectory Slice Execution Cost Distribution</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ShortfallIncrementDistribution extends org.drip.measure.gaussian.R1UnivariateNormal {
<span class="fc" id="L121"> public double _dblMarketDynamicVariance = java.lang.Double.NaN;</span>
<span class="fc" id="L122"> public double _dblPermanentImpactVariance = java.lang.Double.NaN;</span>
<span class="fc" id="L123"> public double _dblTemporaryImpactVariance = java.lang.Double.NaN;</span>
<span class="fc" id="L124"> public double _dblMarketDynamicExpectation = java.lang.Double.NaN;</span>
<span class="fc" id="L125"> public double _dblPermanentImpactExpectation = java.lang.Double.NaN;</span>
<span class="fc" id="L126"> public double _dblTemporaryImpactExpectation = java.lang.Double.NaN;</span>
/**
* ShortfallIncrementDistribution Constructor
*
* @param dblPermanentImpactExpectation The Permanent Market Impact Expectation Component
* @param dblTemporaryImpactExpectation The Temporary Market Impact Expectation Component
* @param dblMarketDynamicExpectation The Market Dynamics Expectation Component
* @param dblPermanentImpactVariance The Permanent Market Impact Variance Component
* @param dblTemporaryImpactVariance The Temporary Market Impact Variance Component
* @param dblMarketDynamicVariance The Market Dynamics Variance Component
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ShortfallIncrementDistribution (
final double dblPermanentImpactExpectation,
final double dblTemporaryImpactExpectation,
final double dblMarketDynamicExpectation,
final double dblPermanentImpactVariance,
final double dblTemporaryImpactVariance,
final double dblMarketDynamicVariance)
throws java.lang.Exception
{
<span class="fc" id="L150"> super (dblPermanentImpactExpectation + dblTemporaryImpactExpectation + dblMarketDynamicExpectation,</span>
<span class="fc" id="L151"> java.lang.Math.sqrt (dblPermanentImpactVariance + dblTemporaryImpactVariance +</span>
dblMarketDynamicVariance));
<span class="fc" id="L154"> _dblPermanentImpactExpectation = dblPermanentImpactExpectation;</span>
<span class="fc" id="L155"> _dblTemporaryImpactExpectation = dblTemporaryImpactExpectation;</span>
<span class="fc" id="L156"> _dblMarketDynamicExpectation = dblMarketDynamicExpectation;</span>
<span class="fc" id="L157"> _dblPermanentImpactVariance = dblPermanentImpactVariance;</span>
<span class="fc" id="L158"> _dblTemporaryImpactVariance = dblTemporaryImpactVariance;</span>
<span class="fc" id="L159"> _dblMarketDynamicVariance = dblMarketDynamicVariance;</span>
<span class="fc" id="L160"> }</span>
/**
* Retrieve the Total Expectation
*
* @return The Total Expectation
*/
public double expectation()
{
<span class="fc" id="L170"> return mean();</span>
}
/**
* Retrieve the Market Dynamic Expectation Component
*
* @return The Market Dynamic Expectation Component
*/
public double marketDynamicExpectation()
{
<span class="nc" id="L181"> return _dblMarketDynamicExpectation;</span>
}
/**
* Retrieve the Market Dynamic Variance Component
*
* @return The Market Dynamic Variance Component
*/
public double marketDynamicVariance()
{
<span class="nc" id="L192"> return _dblMarketDynamicVariance;</span>
}
/**
* Retrieve the Permanent Market Impact Expectation Component
*
* @return The Permanent Market Impact Expectation Component
*/
public double permanentImpactExpectation()
{
<span class="fc" id="L203"> return _dblPermanentImpactExpectation;</span>
}
/**
* Retrieve the Permanent Market Impact Variance Component
*
* @return The Permanent Market Impact Variance Component
*/
public double permanentImpactVariance()
{
<span class="nc" id="L214"> return _dblPermanentImpactVariance;</span>
}
/**
* Retrieve the Temporary Market Impact Expectation Component
*
* @return The Temporary Market Impact Expectation Component
*/
public double temporaryImpactExpectation()
{
<span class="fc" id="L225"> return _dblTemporaryImpactExpectation;</span>
}
/**
* Retrieve the Temporary Market Impact Variance Component
*
* @return The Temporary Market Impact Variance Component
*/
public double temporaryImpactVariance()
{
<span class="nc" id="L236"> return _dblTemporaryImpactVariance;</span>
}
}
</pre><div class="footer"><span class="right">Created with <a href="http://www.jacoco.org/jacoco">JaCoCo</a> 0.7.9.201702052155</span></div></body></html>