Features:

- Measure Discrete R1 Distribution Probability (1, 2, 3) - Measure Discrete R1 Distribution Standard (4, 5, 6) - Indifference Reservation Pricer Claims Function (7, 8) - Reservation Pricer Expected Endowment Utility #1 (9, 10, 11) - Reservation Pricer Expected Endowment Utility #2 (12, 13, 14) - Reservation Pricer Expected Endowment Utility #3 (15, 16) - Reservation Pricer Expected Endowment Utility #4 (17, 18, 19) - Reservation Pricer Expected Terminal Utility #1 (20, 21, 22) - Reservation Pricer Expected Terminal Utility #2 (23, 24) - Expected Terminal Claims Utility Price #1 (25, 26) - Expected Terminal Claims Utility Price #2 (27, 28) - OMS Indifference Claims Inventory Portfolio (29, 30) - Endowment Portfolio Riskless Security Units (32, 33) - Endowment Portfolio Claims Security Units (34, 35) - OMS Indifference Endowment Portfolio Constructor (36, 37, 38) - OMS Indifference Endowment Portfolio Value (39, 40, 41) - Reservation Indifference Price Endowment Value (42) - Utility Function Optimization Run Shell (43, 44) - Utility Optimization Run Endowment Portfolio (45, 46) - Utility Optimization Run Optimal Value (47, 48) - Utility Optimization Run Endowment Constructor (49, 50, 51) - Bid Ask Claims Handler Shell (52, 53) - Bid Ask Claims Handler Payoff (54, 55) - Endowment Portfolio Underlier Units/Price (56, 57) - Bid Ask Claims Handler Units (58, 59) Bug Fixes/Re-organization: - Endowment Portfolio Claims Indifference Pricing (31) - Reservation Pricer Claims Payoff Delete (60) Samples: IdeaDRIP:
lakshmiDRIP · Jan 16, 2024 · 280405b · 280405b
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diff --git a/ReleaseNotes/05_17_2023.txt b/ReleaseNotes/05_17_2023.txt
@@ -0,0 +1,38 @@
+
+Features:
+
+	- Measure Discrete R1 Distribution Probability (1, 2, 3)
+	- Measure Discrete R1 Distribution Standard (4, 5, 6)
+	- Indifference Reservation Pricer Claims Function (7, 8)
+	- Reservation Pricer Expected Endowment Utility #1 (9, 10, 11)
+	- Reservation Pricer Expected Endowment Utility #2 (12, 13, 14)
+	- Reservation Pricer Expected Endowment Utility #3 (15, 16)
+	- Reservation Pricer Expected Endowment Utility #4 (17, 18, 19)
+	- Reservation Pricer Expected Terminal Utility #1 (20, 21, 22)
+	- Reservation Pricer Expected Terminal Utility #2 (23, 24)
+	- Expected Terminal Claims Utility Price #1 (25, 26)
+	- Expected Terminal Claims Utility Price #2 (27, 28)
+	- OMS Indifference Claims Inventory Portfolio (29, 30)
+	- Endowment Portfolio Riskless Security Units (32, 33)
+	- Endowment Portfolio Claims Security Units (34, 35)
+	- OMS Indifference Endowment Portfolio Constructor (36, 37, 38)
+	- OMS Indifference Endowment Portfolio Value (39, 40, 41)
+	- Reservation Indifference Price Endowment Value (42)
+	- Utility Function Optimization Run Shell (43, 44)
+	- Utility Optimization Run Endowment Portfolio (45, 46)
+	- Utility Optimization Run Optimal Value (47, 48)
+	- Utility Optimization Run Endowment Constructor (49, 50, 51)
+	- Bid Ask Claims Handler Shell (52, 53)
+	- Bid Ask Claims Handler Payoff (54, 55)
+	- Endowment Portfolio Underlier Units/Price (56, 57)
+	- Bid Ask Claims Handler Units (58, 59)
+
+
+Bug Fixes/Re-organization:
+
+	- Endowment Portfolio Claims Indifference Pricing (31)
+	- Reservation Pricer Claims Payoff Delete (60)
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/measure/discrete/R1Distribution.java b/src/main/java/org/drip/measure/discrete/R1Distribution.java
@@ -100,16 +100,77 @@
 
 public class R1Distribution
 {
-	private TreeMap<Double, Double> _probabilityMap = new TreeMap<Double, Double>();
+	private TreeMap<Double, Double> _probabilityMap = null;
 
-	private R1Distribution (
-		final TreeMap<Double, Double> probabilityMap)
-		throws Exception
+	/**
+	 * Generate an Standard Instance of Discrete <i>R1Distribution</i>
+	 * 
+	 * @param instanceArray Instance Array
+	 * @param probabilityArray Probability Array
+	 * 
+	 * @return Standard Instance of Discrete <i>R1Distribution</i>
+	 */
+
+	public static R1Distribution Standard (
+		final double[] instanceArray,
+		final double[] probabilityArray)
 	{
-		if (null == (_probabilityMap = probabilityMap) || 0 == _probabilityMap.size())
+		if (null == instanceArray ||
+			null == probabilityArray)
+		{
+			return null;
+		}
+
+		int instanceCount = instanceArray.length;
+
+		if (0 == instanceCount || instanceCount != probabilityArray.length)
+		{
+			return null;
+		}
+
+		TreeMap<Double, Double> probabilityMap = new TreeMap<Double, Double>();
+
+		double cumulativeProbability = 0.;
+
+		for (double probability : probabilityArray)
 		{
-			throw new Exception ("R1Distribution Constructor => Invalid Inputs");
+			if (!NumberUtil.IsValid (probability) || 0. > probability)
+			{
+				return null;
+			}
+
+			cumulativeProbability += probability;
 		}
+
+		if (0. == cumulativeProbability)
+		{
+			return null;
+		}
+
+		for (int i = 0; i < instanceCount; ++i)
+		{
+			if (!NumberUtil.IsValid (instanceArray[i]))
+			{
+				return null;
+			}
+
+			probabilityMap.put (instanceArray[i], probabilityArray[i] / cumulativeProbability);
+		}
+
+		try
+		{
+			return new R1Distribution (probabilityMap);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return null;
+	}
+
+	private R1Distribution (
+		final TreeMap<Double, Double> probabilityMap)
+	{
+		_probabilityMap = probabilityMap;
 	}
 
 	/**
@@ -139,7 +200,7 @@ public double probability (
 	{
 		if (!NumberUtil.IsValid (x) || !_probabilityMap.containsKey (x))
 		{
-			throw new Exception ("R1Distribution::probability =>_probabilityMap");
+			throw new Exception ("R1Distribution::probability => Input Instance is Invalid");
 		}
 
 		return _probabilityMap.get (x);

diff --git a/src/main/java/org/drip/oms/indifference/BidAskClaimsHandler.java b/src/main/java/org/drip/oms/indifference/BidAskClaimsHandler.java
@@ -0,0 +1,141 @@
+
+package org.drip.oms.indifference;
+
+import org.drip.function.definition.R1ToR1;
+
+/*
+ * -*- 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>BidAskClaimsHandler</i> works the Bid/Ask Sided Claims Price using the Indifference Pricing Scheme. 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 BidAskClaimsHandler
+{
+	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;
+	}
+}