Features:

- Zero Position Value Adjustment Hint (1, 2, 3) - Optimal No-Claims Inventory Vertex (4, 5, 6) - Optimal Claims Adjusted Inventory Vertex (7, 8, 9) - Indifference Claims Position Pricer Shell (10, 11) - Claims Position Pricer Payoff Function #1 (12, 13) - Indifference Claims Position Pricer Size (14, 15) - Indifference Claims Position Pricer - Constructor (16, 17, 18) - Unit Bid Claims Position Pricer (19, 20, 21) - Unit Ask Claims Position Pricer (22) - Position Vertex Claims Sice Pricer (23, 24, 25) - Claims Position Pricer Payoff Function #2 (26, 27, 28) - Utility Function Expectation Claims Pricer (29, 30, 31) - No Claims Inventory Utility Expectation (33) - Claims Based Inventory Utility Expectation #1 (34, 35, 36) - Claims Based Inventory Utility Expectation #2 (37) - R1Distribution Infer Position Value Adjustment (38, 39, 40) - Indifference Reservation Claims Position Pricer (41, 42) - Bid Claims Position Value Adjustment (43, 44, 45) - Ask Claims Position Value Adjustment (46, 47, 48) - OMS Indifference Reservation Pricing Run #1 (49, 50, 51) - Reservation Pricing Run Bid Private (52, 53) - Reservation Pricing Run ask Private (54, 55) - Indifference Pricing Reservation Run Constructor (56, 57, 58) - OMS Indifference Reservation Pricing Run #2 (59, 60) Bug Fixes/Re-organization: - Inventory Vertex Claims Units Remove (32) Samples: IdeaDRIP:
lakshmiDRIP · Feb 4, 2024 · 514a5d2 · 514a5d2
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diff --git a/ReleaseNotes/06_14_2023.txt b/ReleaseNotes/06_14_2023.txt
@@ -0,0 +1,37 @@
+
+Features:
+
+	- Zero Position Value Adjustment Hint (1, 2, 3)
+	- Optimal No-Claims Inventory Vertex (4, 5, 6)
+	- Optimal Claims Adjusted Inventory Vertex (7, 8, 9)
+	- Indifference Claims Position Pricer Shell (10, 11)
+	- Claims Position Pricer Payoff Function #1 (12, 13)
+	- Indifference Claims Position Pricer Size (14, 15)
+	- Indifference Claims Position Pricer - Constructor (16, 17, 18)
+	- Unit Bid Claims Position Pricer (19, 20, 21)
+	- Unit Ask Claims Position Pricer (22)
+	- Position Vertex Claims Sice Pricer (23, 24, 25)
+	- Claims Position Pricer Payoff Function #2 (26, 27, 28)
+	- Utility Function Expectation Claims Pricer (29, 30, 31)
+	- No Claims Inventory Utility Expectation (33)
+	- Claims Based Inventory Utility Expectation #1 (34, 35, 36)
+	- Claims Based Inventory Utility Expectation #2 (37)
+	- R1Distribution Infer Position Value Adjustment (38, 39, 40)
+	- Indifference Reservation Claims Position Pricer (41, 42)
+	- Bid Claims Position Value Adjustment (43, 44, 45)
+	- Ask Claims Position Value Adjustment (46, 47, 48)
+	- OMS Indifference Reservation Pricing Run #1 (49, 50, 51)
+	- Reservation Pricing Run Bid Private (52, 53)
+	- Reservation Pricing Run ask Private (54, 55)
+	- Indifference Pricing Reservation Run Constructor (56, 57, 58)
+	- OMS Indifference Reservation Pricing Run #2 (59, 60)
+
+
+Bug Fixes/Re-organization:
+
+	- Inventory Vertex Claims Units Remove (32)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/oms/indifference/ClaimsPositionPricer.java b/src/main/java/org/drip/oms/indifference/ClaimsPositionPricer.java
@@ -0,0 +1,201 @@
+
+package org.drip.oms.indifference;
+
+import org.drip.function.definition.R1ToR1;
+import org.drip.numerical.common.NumberUtil;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 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,
+ *  	graph builder/navigator, 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
+ *  - Graph Algorithm
+ *  - 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
+ * 
+ *  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>ClaimsPositionPricer</i> prices the Claims Position using Payoff on the Underlying Asset. The
+ * 	References are:
+ *  
+ * 	<br><br>
+ *  <ul>
+ * 		<li>
+ * 			Birge, J. R. (2008): <i>Financial Engineering</i> <b>Elsevier</b> Amsterdam Netherlands
+ * 		</li>
+ * 		<li>
+ * 			Carmona, R. (2009): <i>Indifference Pricing: Theory and Applications</i> <b>Princeton
+ * 				University Press</b> Princeton NJ
+ * 		</li>
+ * 		<li>
+ * 			Vassilis, P. (2005): Slow and Fast Markets <i>Journal of Economics and Business</i> <b>57
+ * 				(6)</b> 576-593
+ * 		</li>
+ * 		<li>
+ * 			Weiss, D. (2006): <i>After the Trade is Made: Processing Securities Transactions</i> <b>Portfolio
+ * 				Publishing</b> London UK
+ * 		</li>
+ * 		<li>
+ * 			Wikipedia (2021): Indifference Price https://en.wikipedia.org/wiki/Indifference_price
+ * 		</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/oms/README.md">R<sup>d</sup> Order Specification, Handling, and Management</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/indifference/README.md">Reservation Price Good-deal Bounds</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class ClaimsPositionPricer
+{
+	private double _size = Double.NaN;
+	private R1ToR1 _payoffFunction = null;
+
+	/**
+	 * Construct a Unit Bid ClaimsPositionPricer Instance
+	 * 
+	 * @param payoffFunction Claims Payoff Function
+	 * 
+	 * @return Unit Bid ClaimsPositionPricer Instance
+	 */
+
+	public ClaimsPositionPricer UnitBid (
+		final R1ToR1 payoffFunction)
+	{
+		try {
+			return new ClaimsPositionPricer (payoffFunction, 1.);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
+
+	/**
+	 * Construct a Unit Ask ClaimsPositionPricer Instance
+	 * 
+	 * @param payoffFunction Claims Payoff Function
+	 * 
+	 * @return Unit Ask ClaimsPositionPricer Instance
+	 */
+
+	public ClaimsPositionPricer UnitAsk (
+		final R1ToR1 payoffFunction)
+	{
+		try {
+			return new ClaimsPositionPricer (payoffFunction, -1.);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
+
+	/**
+	 * ClaimsPositionPricer Constructor
+	 * 
+	 * @param payoffFunction Claims Payoff Function
+	 * @param size Claims Size
+	 * 
+	 * @throws Exception Thrown if the Inputs are Invalid
+	 */
+
+	public ClaimsPositionPricer (
+		final R1ToR1 payoffFunction,
+		final double size)
+		throws Exception
+	{
+		if (null == (_payoffFunction = payoffFunction) || !NumberUtil.IsValid (_size = size)) {
+			throw new Exception ("ClaimsPositionPricer Constructor => Invalid Inputs");
+		}
+	}
+
+	/**
+	 * Retrieve the Claims Payoff Function
+	 * 
+	 * @return The Claims Payoff Function
+	 */
+
+	public R1ToR1 payoffFunction()
+	{
+		return _payoffFunction;
+	}
+
+	/**
+	 * Retrieve the Claims Size
+	 * 
+	 * @return The Claims Size
+	 */
+
+	public double size()
+	{
+		return _size;
+	}
+}
diff --git a/src/main/java/org/drip/oms/indifference/InventoryVertex.java b/src/main/java/org/drip/oms/indifference/InventoryVertex.java
@@ -114,7 +114,6 @@
 
 public class InventoryVertex
 {
-	private double _claimUnits = Double.NaN;
 	private double _underlierUnits = Double.NaN;
 	private double _moneyMarketUnits = Double.NaN;
 
@@ -123,20 +122,17 @@ public class InventoryVertex
 	 * 
 	 * @param moneyMarketUnits Number of Money Market Units
 	 * @param underlierUnits Number of Underlier Units
-	 * @param claimUnits Number of Claim Units
 	 * 
 	 * @throws Exception Thrown if the Inputs are Invalid
 	 */
 
 	public InventoryVertex (
 		final double moneyMarketUnits,
-		final double underlierUnits,
-		final double claimUnits)
+		final double underlierUnits)
 		throws Exception
 	{
 		if (!NumberUtil.IsValid (_moneyMarketUnits = moneyMarketUnits) ||
-			!NumberUtil.IsValid (_underlierUnits = underlierUnits) ||
-			!NumberUtil.IsValid (_claimUnits = claimUnits)) {
+			!NumberUtil.IsValid (_underlierUnits = underlierUnits)) {
 			throw new Exception ("InventoryVertex Constructor => Invalid Inputs");
 		}
 	}
@@ -162,15 +158,4 @@ public double underlierUnits()
 	{
 		return _underlierUnits;
 	}
-
-	/**
-	 * Retrieve the Number of Claim Units
-	 * 
-	 * @return Number of Claim Units
-	 */
-
-	public double claimUnits()
-	{
-		return _claimUnits;
-	}
 }
diff --git a/src/main/java/org/drip/oms/indifference/PositionVertex.java b/src/main/java/org/drip/oms/indifference/PositionVertex.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 -*-
  */
@@ -114,30 +112,30 @@
 public class PositionVertex
 {
 	private InventoryVertex _inventory = null;
-	private R1ToR1 _claimsPayoffFunction = null;
 	private RealizationVertex _realization = null;
+	private ClaimsPositionPricer _claimsPositionPricer = null;
 
 	/**
 	 * PositionVertex Constructor
 	 * 
 	 * @param inventory Inventory Vertex
 	 * @param realization Realization Vertex
-	 * @param claimsPayoffFunction Claims Payoff Function
+	 * @param claimsPositionPricer Claims Position Pricer
 	 * 
 	 * @throws Exception Thrown if the Inputs are Invalid
 	 */
 
 	public PositionVertex (
 		final InventoryVertex inventory,
 		final RealizationVertex realization,
-		final R1ToR1 claimsPayoffFunction)
+		final ClaimsPositionPricer claimsPositionPricer)
 		throws Exception
 	{
 		if (null == (_inventory = inventory) || null == (_realization = realization)) {
 			throw new Exception ("PositionVertex Constructor => Invalid Inputs");
 		}
 
-		_claimsPayoffFunction = claimsPayoffFunction;
+		_claimsPositionPricer = claimsPositionPricer;
 	}
 
 	/**
@@ -168,9 +166,9 @@ public RealizationVertex realization()
 	 * @return The Claims Payoff Function
 	 */
 
-	public R1ToR1 claimsPayoffFunction()
+	public ClaimsPositionPricer claimsPositionPricer()
 	{
-		return _claimsPayoffFunction;
+		return _claimsPositionPricer;
 	}
 
 	/**
@@ -206,8 +204,8 @@ public double underlierValue()
 	public double claimsValue()
 		throws Exception
 	{
-		return null == _claimsPayoffFunction ? 0. :
-			_inventory.claimUnits() * _claimsPayoffFunction.evaluate (_realization.underlierPrice());
+		return null == _claimsPositionPricer ? 0. :
+			_claimsPositionPricer.payoffFunction().evaluate (_realization.underlierPrice());
 	}
 
 	/**