Class CorporateEventPositions

java.lang.Object

com.quantfinlib.data.CorporateEventPositions

public final class CorporateEventPositions
extends Object

Position-side treatment of CorporateEvents: what happens to a holding's share count, cost basis and cash. This is a stand-alone adapter and does not touch any ledger; a caller maps CorporateEventPositions.Outcome onto its own position store.

Conventions: total cost basis is conserved except where cash leaves the position (cash in lieu and merger cash reduce basis pro rata to the value they replace, a simplification of tax rules that differ by jurisdiction). Spin-off basis is split by relative market value on the ex-date, parentPrice : ratio * childPrice.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	CorporateEventPositions.Holding	One holding of an instrument.
static final record	CorporateEventPositions.Outcome	Result of applying an event: the resulting holdings (the original instrument first, possibly with zero shares) and cash received.

Method Summary

Modifier and Type	Method	Description
static CorporateEventPositions.Outcome	apply(CorporateEventPositions.Holding h, CorporateEvents.Event event, double exPrice)	Applies an event that needs no election.
static CorporateEventPositions.Outcome	merger(CorporateEventPositions.Holding h, CorporateEvents.CashStockMerger m, double cashElectedFraction, double aggregateCashElectedFraction)	Applies a cash-and-stock merger with election and proration.
static CorporateEventPositions.Outcome	takeUpRights(CorporateEventPositions.Holding h, CorporateEvents.RightsIssue r)	Takes up rights in full: pays ratio * S per share for ratio new shares.

Methods inherited from class Object

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

Method Details

apply

public static CorporateEventPositions.Outcome apply(CorporateEventPositions.Holding h,
 CorporateEvents.Event event,
 double exPrice)

Applies an event that needs no election.

Parameters:

exPrice - the instrument's first ex-date price, used for cash in lieu of fractions and spin-off basis allocation

takeUpRights

public static CorporateEventPositions.Outcome takeUpRights(CorporateEventPositions.Holding h,
 CorporateEvents.RightsIssue r)

Takes up rights in full: pays ratio * S per share for ratio new shares.

merger

public static CorporateEventPositions.Outcome merger(CorporateEventPositions.Holding h,
 CorporateEvents.CashStockMerger m,
 double cashElectedFraction,
 double aggregateCashElectedFraction)

Applies a cash-and-stock merger with election and proration.

Parameters:

cashElectedFraction - fraction of this holding elected for cash (rest elects stock)

aggregateCashElectedFraction - fraction of all target shares elected for cash; when it exceeds CorporateEvents.CashStockMerger.maxCashFraction() every cash elector receives cash on max / aggregate of its cash-elected shares and stock on the rest