Package org.drip.oms.indifference

Class ClaimsPositionPricer

java.lang.Object
org.drip.oms.indifference.ClaimsPositionPricer
public class ClaimsPositionPricer
extends java.lang.Object
ClaimsPositionPricer prices the Claims Position using Payoff on the Underlying Asset. The References are:

  • Birge, J. R. (2008): Financial Engineering Elsevier Amsterdam Netherlands
  • Carmona, R. (2009): Indifference Pricing: Theory and Applications Princeton University Press Princeton NJ
  • Vassilis, P. (2005): Slow and Fast Markets Journal of Economics and Business 57 (6) 576-593
  • Weiss, D. (2006): After the Trade is Made: Processing Securities Transactions Portfolio Publishing London UK
  • Wikipedia (2021): Indifference Price https://en.wikipedia.org/wiki/Indifference_price


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ClaimsPositionPricer​(R1ToR1 payoffFunction, double size)
    ClaimsPositionPricer Constructor

  • Method Summary

    Modifier and Type Method Description
    R1ToR1 payoffFunction()
    Retrieve the Claims Payoff Function
    double size()
    Retrieve the Claims Size
    ClaimsPositionPricer UnitAsk​(R1ToR1 payoffFunction)
    Construct a Unit Ask ClaimsPositionPricer Instance
    ClaimsPositionPricer UnitBid​(R1ToR1 payoffFunction)
    Construct a Unit Bid ClaimsPositionPricer Instance

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • ClaimsPositionPricer

      public ClaimsPositionPricer​(R1ToR1 payoffFunction, double size) throws java.lang.Exception
      ClaimsPositionPricer Constructor
      Parameters:
      payoffFunction - Claims Payoff Function
      size - Claims Size
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • UnitBid

      public ClaimsPositionPricer UnitBid​(R1ToR1 payoffFunction)
      Construct a Unit Bid ClaimsPositionPricer Instance
      Parameters:
      payoffFunction - Claims Payoff Function
      Returns:
      Unit Bid ClaimsPositionPricer Instance

    • UnitAsk

      public ClaimsPositionPricer UnitAsk​(R1ToR1 payoffFunction)
      Construct a Unit Ask ClaimsPositionPricer Instance
      Parameters:
      payoffFunction - Claims Payoff Function
      Returns:
      Unit Ask ClaimsPositionPricer Instance

    • payoffFunction

      public R1ToR1 payoffFunction()
      Retrieve the Claims Payoff Function
      Returns:
      The Claims Payoff Function

    • size

      public double size()
      Retrieve the Claims Size
      Returns:
      The Claims Size