Features:

- Reservation Pricer Baseline Indifference Value #1 (1, 2) - Reservation Pricer Baseline Indifference Value #2 (3, 4) - Reservation Pricer Baseline Indifference Value #3 (5, 6) - Indifference Reservation Pricer Process Shell (7, 8, 9) - Indifference Reservation Pricer Pay-off Price (11, 12) - Claims Adjusted Utility Value #1 (13, 14, 15) - Claims Adjusted Utility Value #2 (16, 17, 18) - Claims Adjusted Reservation Utility Function (19, 20, 21) - Optimal Claims Adjusted Underlier Units (22, 23) - Baseline Flow Claims Unit Array (24) - Reservation Pricer Indifference Price Shell (25, 26) - Claims Adjusted Unit Price Array #1 (27, 28) - Claims Adjusted Unit Price Array #2 (29, 30) - Reservation Pricer Utility Value #1 (31, 32, 33) - Claims Adjusted Endowment Portfolio Solver (34, 35, 36) - Reservation Pricer Utility Value #2 (37, 38) - Optimal Claims Price Adjusted Function (39, 40, 41) - Optimal Claims Adjusted Endowment Portfolio #1 (42, 43, 44) - Optimal Claims Adjusted Endowment Portfolio #2 (45, 46, 47) - Optimal Claims Adjusted Endowment Portfolio #3 (48, 49, 50) - Claims Adjusted Unit Price Array #2 (51, 52) - Underlier Utility Optimization Run #1 (53, 54, 55) - Underlier Utility Optimization Run #2 (56, 57, 58) - OMS Indifference Reservation Price Run (59, 60) Bug Fixes/Re-organization: - Bid Ask Claims Handler Delete (10) Samples: IdeaDRIP:
lakshmiDRIP · Jan 21, 2024 · 4105751 · 4105751
1 parent 1de1193
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diff --git a/ReleaseNotes/05_25_2023.txt b/ReleaseNotes/05_25_2023.txt
@@ -0,0 +1,37 @@
+
+Features:
+
+	- Reservation Pricer Baseline Indifference Value #1 (1, 2)
+	- Reservation Pricer Baseline Indifference Value #2 (3, 4)
+	- Reservation Pricer Baseline Indifference Value #3 (5, 6)
+	- Indifference Reservation Pricer Process Shell (7, 8, 9)
+	- Indifference Reservation Pricer Pay-off Price (11, 12)
+	- Claims Adjusted Utility Value #1 (13, 14, 15)
+	- Claims Adjusted Utility Value #2 (16, 17, 18)
+	- Claims Adjusted Reservation Utility Function (19, 20, 21)
+	- Optimal Claims Adjusted Underlier Units (22, 23)
+	- Baseline Flow Claims Unit Array (24)
+	- Reservation Pricer Indifference Price Shell (25, 26)
+	- Claims Adjusted Unit Price Array #1 (27, 28)
+	- Claims Adjusted Unit Price Array #2 (29, 30)
+	- Reservation Pricer Utility Value #1 (31, 32, 33)
+	- Claims Adjusted Endowment Portfolio Solver (34, 35, 36)
+	- Reservation Pricer Utility Value #2 (37, 38)
+	- Optimal Claims Price Adjusted Function (39, 40, 41)
+	- Optimal Claims Adjusted Endowment Portfolio #1 (42, 43, 44)
+	- Optimal Claims Adjusted Endowment Portfolio #2 (45, 46, 47)
+	- Optimal Claims Adjusted Endowment Portfolio #3 (48, 49, 50)
+	- Claims Adjusted Unit Price Array #2 (51, 52)
+	- Underlier Utility Optimization Run #1 (53, 54, 55)
+	- Underlier Utility Optimization Run #2 (56, 57, 58)
+	- OMS Indifference Reservation Price Run (59, 60)
+
+
+Bug Fixes/Re-organization:
+
+	- Bid Ask Claims Handler Delete (10)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/...oms/indifference/BidAskClaimsHandler.java → ...oms/indifference/ReservationPriceRun.java b/...oms/indifference/BidAskClaimsHandler.java → ...oms/indifference/ReservationPriceRun.java
@@ -1,8 +1,6 @@
 
 package org.drip.oms.indifference;
 
-import org.drip.function.definition.R1ToR1;
-
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  */
@@ -76,8 +74,8 @@
  */
 
 /**
- * <i>BidAskClaimsHandler</i> works the Bid/Ask Sided Claims Price using the Indifference Pricing Scheme. The
- *  References are:
+ * <i>ReservationPriceRun</i> captures the Results of a Claims Adjusted Indifference Pricing Run.
+ *  The References are:
  *  
  * 	<br><br>
  *  <ul>
@@ -112,30 +110,7 @@
  * @author Lakshmi Krishnamurthy
  */
 
-public class BidAskClaimsHandler
+public class ReservationPriceRun
 {
-	private double _units = Double.NaN;
-	private R1ToR1 _payoffFunction = null;
-
-	/**
-	 * Retrieve the Claims Payoff Function
-	 * 
-	 * @return The Claims Payoff Function
-	 */
-
-	public R1ToR1 payoffFunction()
-	{
-		return _payoffFunction;
-	}
-
-	/**
-	 * Retrieve the Sided Units
-	 * 
-	 * @return The Sided Units
-	 */
 
-	public double units()
-	{
-		return _units;
-	}
 }
diff --git a/src/main/java/org/drip/oms/indifference/ReservationPricer.java b/src/main/java/org/drip/oms/indifference/ReservationPricer.java
@@ -2,6 +2,8 @@
 package org.drip.oms.indifference;
 
 import org.drip.function.definition.R1ToR1;
+import org.drip.function.r1tor1solver.FixedPointFinderOutput;
+import org.drip.function.r1tor1solver.FixedPointFinderZheng;
 import org.drip.measure.continuous.R1Univariate;
 import org.drip.numerical.common.NumberUtil;
 import org.drip.numerical.integration.R1ToR1Integrator;
@@ -117,7 +119,7 @@
 
 public class ReservationPricer
 {
-	private BidAskClaimsHandler _bidAskClaimsHandler = null;
+	private R1ToR1 _payoffFunction = null;
 	private R1ToR1 _privateValuationObjectiveFunction = null;
 
 	/**
@@ -132,17 +134,74 @@ public R1ToR1 privateValuationObjectiveFunction()
 	}
 
 	/**
-	 * Retrieve the Bid/Ask Claims Handler
+	 * Retrieve the Payoff Function
 	 * 
-	 * @return The Bid/Ask Claims Handler
+	 * @return The Payoff Function
 	 */
 
-	public BidAskClaimsHandler bidAskClaimsHandler()
+	public R1ToR1 payoffFunction()
 	{
-		return _bidAskClaimsHandler;
+		return _payoffFunction;
 	}
 
-	public double baselineIndifferenceFunction (
+	public double claimsAdjustedPrice (
+		final R1ToR1 claimsAdjustedUnderlierUnitFunction,
+		final double indifferencePrice)
+		throws Exception
+	{
+		if (null == claimsAdjustedUnderlierUnitFunction) {
+			throw new Exception ("ReservationPricer::claimsAdjustedPrice => Cannot find Root");
+		}
+
+		FixedPointFinderOutput fixedPointFinderOutput = new FixedPointFinderZheng (
+			indifferencePrice,
+			new R1ToR1 (null) {
+				@Override public final double evaluate (
+					final double claimsAdjustedPrice)
+					throws Exception
+				{
+					return claimsAdjustedUnderlierUnitFunction.evaluate (claimsAdjustedPrice);
+				}
+			},
+			false
+		).findRoot();
+
+		if (null == fixedPointFinderOutput) {
+			throw new Exception ("ReservationPricer::claimsAdjustedEndowmentPortfolio => Cannot find Root");
+		}
+
+		return fixedPointFinderOutput.getRoot();
+	}
+
+	public double baselineUtilityValue (
+		final R1ToR1 risklessUnitsFunction,
+		final double terminalRisklessPrice,
+		final double terminalUnderlierPrice,
+		final double underlierUnits)
+		throws Exception
+	{
+		return _privateValuationObjectiveFunction.evaluate (
+			terminalRisklessPrice * risklessUnitsFunction.evaluate (underlierUnits) +
+				terminalUnderlierPrice * underlierUnits
+		);
+	}
+
+	public double claimsAdjustedUtilityValue (
+		final R1ToR1 risklessUnitsFunction,
+		final double terminalRisklessPrice,
+		final double terminalUnderlierPrice,
+		final double underlierUnits,
+		final double claimUnits)
+		throws Exception
+	{
+		return _privateValuationObjectiveFunction.evaluate (
+			terminalRisklessPrice * risklessUnitsFunction.evaluate (underlierUnits) +
+				terminalUnderlierPrice * underlierUnits +
+				claimUnits * _payoffFunction.evaluate (terminalUnderlierPrice)
+		);
+	}
+
+	public double baselineUtilityFunction (
 		final R1ToR1 risklessUnitsFunction,
 		final R1Univariate terminalUnderlierDistribution,
 		final double terminalRisklessPrice,
@@ -154,7 +213,46 @@ public double baselineIndifferenceFunction (
 			!NumberUtil.IsValid (terminalRisklessPrice) ||
 			!NumberUtil.IsValid (underlierUnits)) {
 			throw new Exception (
-				"ReservationPricer::baselineIndifferenceFunction => Invalid Terminal Distribution"
+				"ReservationPricer::baselineUtilityFunction => Invalid Terminal Distribution"
+			);
+		}
+
+		double[] terminalUnderlierSupportArray = terminalUnderlierDistribution.support();
+
+		return R1ToR1Integrator.Boole (
+			new R1ToR1 (null) {
+				@Override public double evaluate (
+					double terminalUnderlierPrice)
+					throws Exception
+				{
+					return baselineUtilityValue (
+						risklessUnitsFunction,
+						terminalRisklessPrice,
+						terminalUnderlierPrice,
+						underlierUnits
+					) * terminalUnderlierDistribution.density (terminalUnderlierPrice);
+				}
+			},
+			terminalUnderlierSupportArray[0],
+			terminalUnderlierSupportArray[1]
+		);
+	}
+
+	public double claimsAdjustedUtilityFunction (
+		final R1ToR1 risklessUnitsFunction,
+		final R1Univariate terminalUnderlierDistribution,
+		final double terminalRisklessPrice,
+		final double underlierUnits,
+		final double claimsUnits)
+		throws Exception
+	{
+		if (null == risklessUnitsFunction ||
+			null == terminalUnderlierDistribution ||
+			!NumberUtil.IsValid (terminalRisklessPrice) ||
+			!NumberUtil.IsValid (underlierUnits) ||
+			!NumberUtil.IsValid (claimsUnits)) {
+			throw new Exception (
+				"ReservationPricer::claimsAdjustedUtilityFunction => Invalid Terminal Distribution"
 			);
 		}
 
@@ -166,9 +264,12 @@ public double baselineIndifferenceFunction (
 					double terminalUnderlierPrice)
 					throws Exception
 				{
-					return _privateValuationObjectiveFunction.evaluate (
-						terminalRisklessPrice * risklessUnitsFunction.evaluate (underlierUnits) +
-							terminalUnderlierPrice * underlierUnits
+					return claimsAdjustedUtilityValue (
+						risklessUnitsFunction,
+						terminalRisklessPrice,
+						terminalUnderlierPrice,
+						underlierUnits,
+						claimsUnits
 					) * terminalUnderlierDistribution.density (terminalUnderlierPrice);
 				}
 			},

diff --git a/src/main/java/org/drip/oms/indifference/ReservationPricerProcessShell.java b/src/main/java/org/drip/oms/indifference/ReservationPricerProcessShell.java
@@ -125,6 +125,13 @@ protected abstract double optimalBaselineUnderlierUnits (
 		final double terminalRisklessPrice)
 		throws Exception;
 
+	protected abstract R1ToR1 claimsAdjustedUnderlierUnitFunction (
+		final R1ToR1 risklessUnitsFunction,
+		final R1Univariate terminalUnderlierDistribution,
+		final double terminalRisklessPrice,
+		final double claimsUnits
+	);
+
 	/**
 	 * Retrieve the Endowment Value
 	 * 
@@ -174,19 +181,61 @@ public R1ToR1 risklessUnitsFunction (
 
 	public UtilityOptimizationRun baselineFlow (
 		final double terminalRisklessPrice,
+		final double terminalUnderlierPrice,
 		final R1ToR1 risklessUnitsFunction,
-		final R1Univariate terminalUnderlierDistribution)
+		final R1Univariate terminalUnderlierDistribution,
+		final double[] claimsUnitArray)
 	{
-		double optimalBaselineUnderlierUnits = Double.NaN;
+		if (null == claimsUnitArray || !NumberUtil.IsValid (claimsUnitArray)) {
+			return null;
+		}
+
+		int claimsUnitCount = claimsUnitArray.length;
+		double[] claimsUnitAdjustedPriceArray = new double[claimsUnitCount];
+
+		if (0 == claimsUnitCount) {
+			return null;
+		}
 
 		try {
-			if (!NumberUtil.IsValid (
-				optimalBaselineUnderlierUnits = optimalBaselineUnderlierUnits (
+			double optimalBaselineUnderlierUnits = optimalBaselineUnderlierUnits (
+				risklessUnitsFunction,
+				terminalUnderlierDistribution,
+				terminalRisklessPrice
+			);
+
+			if (!NumberUtil.IsValid (optimalBaselineUnderlierUnits)) {
+				return null;
+			}
+
+			double indifferencePrice = _reservationPricer.baselineUtilityValue (
+				risklessUnitsFunction,
+				terminalRisklessPrice,
+				terminalUnderlierPrice,
+				optimalBaselineUnderlierUnits
+			);
+
+			if (!NumberUtil.IsValid (indifferencePrice)) {
+				return null;
+			}
+
+			for (int claimsUnitIndex = 0; claimsUnitIndex < claimsUnitCount; ++claimsUnitIndex) {
+				R1ToR1 claimsAdjustedUnderlierUnitFunction = claimsAdjustedUnderlierUnitFunction (
 					risklessUnitsFunction,
 					terminalUnderlierDistribution,
-					terminalRisklessPrice
-				)
-			));
+					terminalRisklessPrice,
+					claimsUnitArray[claimsUnitIndex]
+				);
+
+				if (null == claimsAdjustedUnderlierUnitFunction) {
+					return null;
+				}
+
+				claimsUnitAdjustedPriceArray[claimsUnitIndex] = _reservationPricer.claimsAdjustedPrice (
+					claimsAdjustedUnderlierUnitFunction,
+					indifferencePrice
+				);
+			}
 		} catch (Exception e) {
 			e.printStackTrace();