Features:

- OMS Order Display Settings #1 (1, 2, 3) - OMS Order Display Settings #2 (4, 5, 6) - OMS Order Display Settings #3 (7) - Reservation Price Good-deal Bounds (34) - OMS Indifference Reservation Pricing Shell (36, 37, 38) - OMS Indifference Reservation Pricing Annotation (39, 40, 41) - Reservation Pricing Private Valuation Utility (42, 43) - OMS Reservation Pricing Terminal Date (44, 45) - Reservation Pricing Terminal Claim Value (46, 47) - Initial Endowment Reservation Pricer (49, 50) - Measure Discrete R1 Distribution Shell (51, 52, 53) - Discrete R1 Distribution Probability Map (54, 55, 56) - Measure Discrete R1 Distribution Constructor (57, 58, 59) - Measure Discrete R1 Distribution Probability (60) Bug Fixes/Re-organization: - OMS Pricing to Indifference Price (35) - Terminal Date/Claim Value Remove (48) Samples: IdeaDRIP: - Indifference Price Overview (8-13) - Indifference Price Mathematics (14-19) - Indifference Price Example (20-29) - Indifference Price Notes (30-33)
lakshmiDRIP · Jan 16, 2024 · b3f9f51 · b3f9f51
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diff --git a/Docs/Internal/TransactionCostAnalytics/Shruti/Source/TransactionCostAnalytics_v6.06.docx b/Docs/Internal/TransactionCostAnalytics/Shruti/Source/TransactionCostAnalytics_v6.06.docx
diff --git a/Docs/Internal/TransactionCostAnalytics/TransactionCostAnalytics_v6.06.pdf b/Docs/Internal/TransactionCostAnalytics/TransactionCostAnalytics_v6.06.pdf
diff --git a/ReleaseNotes/05_16_2023.txt b/ReleaseNotes/05_16_2023.txt
@@ -0,0 +1,33 @@
+
+Features:
+
+	- OMS Order Display Settings #1 (1, 2, 3)
+	- OMS Order Display Settings #2 (4, 5, 6)
+	- OMS Order Display Settings #3 (7)
+	- Reservation Price Good-deal Bounds (34)
+	- OMS Indifference Reservation Pricing Shell (36, 37, 38)
+	- OMS Indifference Reservation Pricing Annotation (39, 40, 41)
+	- Reservation Pricing Private Valuation Utility (42, 43)
+	- OMS Reservation Pricing Terminal Date (44, 45)
+	- Reservation Pricing Terminal Claim Value (46, 47)
+	- Initial Endowment Reservation Pricer (49, 50)
+	- Measure Discrete R1 Distribution Shell (51, 52, 53)
+	- Discrete R1 Distribution Probability Map (54, 55, 56)
+	- Measure Discrete R1 Distribution Constructor (57, 58, 59)
+	- Measure Discrete R1 Distribution Probability (60)
+
+
+Bug Fixes/Re-organization:
+
+	- OMS Pricing to Indifference Price (35)
+	- Terminal Date/Claim Value Remove (48)
+
+
+Samples:
+
+IdeaDRIP:
+
+	- Indifference Price Overview (8-13)
+	- Indifference Price Mathematics (14-19)
+	- Indifference Price Example (20-29)
+	- Indifference Price Notes (30-33)
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/TransactionCostAnalyticsLibrary.md b/TransactionCostAnalyticsLibrary.md
@@ -62,6 +62,12 @@ Transaction Cost Analytics Library contains the Functionality to estimate single
 	* Types of TIF Orders
 	* Example of Time-in-Force
 	* Reference
+ * Indifference Price
+	* Overview
+	* Mathematics
+	* Example
+	* Notes
+	* Reference
  * Inverted Price Venues
 	* Reference
  * Smart Order Routing

diff --git a/src/main/java/org/drip/measure/discrete/R1Distribution.java b/src/main/java/org/drip/measure/discrete/R1Distribution.java
@@ -0,0 +1,147 @@
+
+package org.drip.measure.discrete;
+
+import java.util.TreeMap;
+
+import org.drip.numerical.common.NumberUtil;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2022 Lakshmi Krishnamurthy
+ * Copyright (C) 2021 Lakshmi Krishnamurthy
+ * Copyright (C) 2020 Lakshmi Krishnamurthy
+ * Copyright (C) 2019 Lakshmi Krishnamurthy
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * Copyright (C) 2017 Lakshmi Krishnamurthy
+ * Copyright (C) 2016 Lakshmi Krishnamurthy
+ * Copyright (C) 2015 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>R1Distribution</i> implements the Discrete Distribution over the Combinatorial R<sup>1</sup> Outcomes.
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/README.md">R<sup>d</sup> Continuous/Discrete Probability Measures</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/measure/discrete/README.md">Antithetic, Quadratically Re-sampled, De-biased Distribution</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class R1Distribution
+{
+	private TreeMap<Double, Double> _probabilityMap = new TreeMap<Double, Double>();
+
+	private R1Distribution (
+		final TreeMap<Double, Double> probabilityMap)
+		throws Exception
+	{
+		if (null == (_probabilityMap = probabilityMap) || 0 == _probabilityMap.size())
+		{
+			throw new Exception ("R1Distribution Constructor => Invalid Inputs");
+		}
+	}
+
+	/**
+	 * Retrieve the Discrete Probability Map
+	 * 
+	 * @return The Discrete Probability Map
+	 */
+
+	public TreeMap<Double, Double> probabilityMap()
+	{
+		return _probabilityMap;
+	}
+
+	/**
+	 * Retrieve the Probability of the Instance Occurrence
+	 * 
+	 * @param x Input Instance
+	 * 
+	 * @return Probability of the Instance Occurrence
+	 * 
+	 * @throws Exception Thrown if the Input Instance is Invalid
+	 */
+
+	public double probability (
+		final double x)
+		throws Exception
+	{
+		if (!NumberUtil.IsValid (x) || !_probabilityMap.containsKey (x))
+		{
+			throw new Exception ("R1Distribution::probability =>_probabilityMap");
+		}
+
+		return _probabilityMap.get (x);
+	}
+}
diff --git a/src/main/java/org/drip/oms/indifference/ReservationPricer.java b/src/main/java/org/drip/oms/indifference/ReservationPricer.java
@@ -0,0 +1,140 @@
+
+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>ReservationPricer</i> holds the main Private Reservation Pricer and its Parameters. 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 ReservationPricer
+{
+	private double _initialEndowment = Double.NaN;
+	private R1ToR1 _privateValuationUtilityFunction = null;
+
+	/**
+	 * Retrieve the Private Valuation Utility Function
+	 * 
+	 * @return The Private Valuation Utility Function
+	 */
+
+	public R1ToR1 privateValuationUtilityFunction()
+	{
+		return _privateValuationUtilityFunction;
+	}
+
+	/**
+	 * Retrieve the Initial Endowment
+	 * 
+	 * @return The Initial Endowment
+	 */
+
+	public double initialEndowment()
+	{
+		return _initialEndowment;
+	}
+}
diff --git a/src/main/java/org/drip/oms/indifference/package-info.java b/src/main/java/org/drip/oms/indifference/package-info.java
@@ -0,0 +1,8 @@
+
+/**
+ * Reservation Price Good-deal Bounds
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+package org.drip.oms.indifference;