Package org.drip.oms.indifference

Class PositionVertex

java.lang.Object

org.drip.oms.indifference.PositionVertex

public class PositionVertex
extends java.lang.Object

PositionVertex holds the Realized Position Vertex. 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = R^d Order Specification, Handling, and Management
• Package = Reservation Price Good-deal Bounds

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PositionVertex(InventoryVertex inventory, RealizationVertex realization, ClaimsPositionPricer claimsPositionPricer)	PositionVertex Constructor

Method Summary

Modifier and Type	Method	Description
ClaimsPositionPricer	claimsPositionPricer()	Retrieve the Claims Payoff Function
double	claimsValue()	Get the Claims Value
InventoryVertex	inventory()	Retrieve the Inventory Vertex
double	moneyMarketValue()	Get the Money Market Value
RealizationVertex	realization()	Retrieve the Realization Vertex
double	underlierValue()	Get the Underlier Value
double	value()	Compute the Position Value

Methods inherited from class java.lang.Object

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

Constructor Details

PositionVertex

public PositionVertex(InventoryVertex inventory,
RealizationVertex realization,
ClaimsPositionPricer claimsPositionPricer)
               throws java.lang.Exception

PositionVertex Constructor

Parameters:

inventory - Inventory Vertex

realization - Realization Vertex

claimsPositionPricer - Claims Position Pricer

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

inventory

public InventoryVertex inventory()

Retrieve the Inventory Vertex

Returns:

The Inventory Vertex

realization

public RealizationVertex realization()

Retrieve the Realization Vertex

Returns:

The Realization Vertex

claimsPositionPricer

public ClaimsPositionPricer claimsPositionPricer()

Retrieve the Claims Payoff Function

Returns:

The Claims Payoff Function

moneyMarketValue

public double moneyMarketValue()

Get the Money Market Value

Returns:

The Money Market Value

underlierValue

public double underlierValue()

Get the Underlier Value

Returns:

The Underlier Value

claimsValue

public double claimsValue()
                   throws java.lang.Exception

Get the Claims Value

Returns:

The Claims Value

Throws:

java.lang.Exception - Thrown if the Claims cannot be calculated

value

public double value()
             throws java.lang.Exception

Compute the Position Value

Returns:

The Position Value

Throws:

java.lang.Exception - Thrown if the Claims cannot be calculated