diff --git a/Docs/Internal/TransactionCostAnalytics/Shruti/Source/TransactionCostAnalytics_v6.10.docx b/Docs/Internal/TransactionCostAnalytics/Shruti/Source/TransactionCostAnalytics_v6.10.docx new file mode 100644 index 00000000000..2e42ff3a93d Binary files /dev/null and b/Docs/Internal/TransactionCostAnalytics/Shruti/Source/TransactionCostAnalytics_v6.10.docx differ diff --git a/Javadoc/allclasses-index.html b/Javadoc/allclasses-index.html index bacd6fd9d84..7a2771c1ac3 100644 --- a/Javadoc/allclasses-index.html +++ b/Javadoc/allclasses-index.html @@ -2,10 +2,10 @@ - + All Classes - + @@ -16,7 +16,7 @@ - + + + + + + +
+ +
+
+ +
+
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
    ConstructorDescription
    ClaimsPositionPricer​(R1ToR1 payoffFunction, +double size) +
    ClaimsPositionPricer Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    R1ToR1payoffFunction() +
    Retrieve the Claims Payoff Function
    +
    doublesize() +
    Retrieve the Claims Size
    +
    ClaimsPositionPricerUnitAsk​(R1ToR1 payoffFunction) +
    Construct a Unit Ask ClaimsPositionPricer Instance
    +
    ClaimsPositionPricerUnitBid​(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
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/ClaimsUtilityExpectationInferenceRun.html b/Javadoc/org/drip/oms/indifference/ClaimsUtilityExpectationInferenceRun.html new file mode 100644 index 00000000000..d74c1bacf8b --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/ClaimsUtilityExpectationInferenceRun.html @@ -0,0 +1,281 @@ + + + + + +ClaimsUtilityExpectationInferenceRun + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.oms.indifference
+

Class ClaimsUtilityExpectationInferenceRun

+
+
java.lang.Object +
org.drip.oms.indifference.UtilityExpectationOptimizationRun +
org.drip.oms.indifference.ClaimsUtilityExpectationInferenceRun
+
+
+
+
+
public class ClaimsUtilityExpectationInferenceRun
+extends UtilityExpectationOptimizationRun
+
ClaimsUtilityExpectationInferenceRun holds the Results of the Optimal Utility Expectation Inference + Run on the Claims-Based Agent Utility Function. 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
    ConstructorDescription
    ClaimsUtilityExpectationInferenceRun​(double optimalValue, +double reservationValue) +
    ClaimsUtilityExpectationInferenceRun Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doublereservationValue() +
    Retrieve the Claims Reservation Value
    +
    +
    +
    +
    +

    Methods inherited from class org.drip.oms.indifference.UtilityExpectationOptimizationRun

    +optimalValue
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      ClaimsUtilityExpectationInferenceRun

      +
      public ClaimsUtilityExpectationInferenceRun​(double optimalValue, +double reservationValue) + throws java.lang.Exception
      +
      ClaimsUtilityExpectationInferenceRun Constructor
      +
      +
      Parameters:
      +
      optimalValue - Optimal Value of the Utility Expectation Optimization Run
      +
      reservationValue - Claims Reservation Value
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      reservationValue

      +
      public double reservationValue()
      +
      Retrieve the Claims Reservation Value
      +
      +
      Returns:
      +
      Claims Reservation Value
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/InventoryVertex.html b/Javadoc/org/drip/oms/indifference/InventoryVertex.html index 5411cb8075f..e748731921c 100644 --- a/Javadoc/org/drip/oms/indifference/InventoryVertex.html +++ b/Javadoc/org/drip/oms/indifference/InventoryVertex.html @@ -2,10 +2,10 @@ - + InventoryVertex - + @@ -16,7 +16,7 @@ - - + + + + + + +
+ +
+
+ +
+
Package org.drip.oms.indifference
+

Class ReservationPricingRun

+
+
java.lang.Object +
org.drip.oms.indifference.ReservationPricingRun
+
+
+
+
public class ReservationPricingRun
+extends java.lang.Object
+
ReservationPricingRun holds the Results of a Bid/Ask Reservation Pricing Run. 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
    ConstructorDescription
    ReservationPricingRun​(double bidPrivateValue, +double askPrivateValue, +double noClaimsInventoryUtilityExpectation) +
    ReservationPricingRun Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleaskPrivateValue() +
    Retrieve the Ask Reservation Value
    +
    doublebidPrivateValue() +
    Retrieve the Bid Reservation Value
    +
    doublenoClaimsInventoryUtilityExpectation() +
    Retrieve the No-Claims Inventory Utility Expectation
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      ReservationPricingRun

      +
      public ReservationPricingRun​(double bidPrivateValue, +double askPrivateValue, +double noClaimsInventoryUtilityExpectation) + throws java.lang.Exception
      +
      ReservationPricingRun Constructor
      +
      +
      Parameters:
      +
      bidPrivateValue - Bid Reservation Value
      +
      askPrivateValue - Ask Reservation Value
      +
      noClaimsInventoryUtilityExpectation - No-Claims Inventory Utility Expectation
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Private Values are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      bidPrivateValue

      +
      public double bidPrivateValue()
      +
      Retrieve the Bid Reservation Value
      +
      +
      Returns:
      +
      Bid Reservation Value
      +
      +
      +
      • +
    • +
      +

      askPrivateValue

      +
      public double askPrivateValue()
      +
      Retrieve the Ask Reservation Value
      +
      +
      Returns:
      +
      Ask Reservation Value
      +
      +
      +
      • +
    • +
      +

      noClaimsInventoryUtilityExpectation

      +
      public double noClaimsInventoryUtilityExpectation()
      +
      Retrieve the No-Claims Inventory Utility Expectation
      +
      +
      Returns:
      +
      No-Claims Inventory Utility Expectation
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/UtilityExpectationOptimizationRun.html b/Javadoc/org/drip/oms/indifference/UtilityExpectationOptimizationRun.html new file mode 100644 index 00000000000..dba8948a7a7 --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/UtilityExpectationOptimizationRun.html @@ -0,0 +1,277 @@ + + + + + +UtilityExpectationOptimizationRun + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.oms.indifference
+

Class UtilityExpectationOptimizationRun

+
+
java.lang.Object +
org.drip.oms.indifference.UtilityExpectationOptimizationRun
+
+
+
+
Direct Known Subclasses:
+
ClaimsUtilityExpectationInferenceRun
+
+
+
public class UtilityExpectationOptimizationRun
+extends java.lang.Object
+
UtilityExpectationOptimizationRun holds the Results of the Optimal Expectation Run of the Agent + Utility Function. 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
    ConstructorDescription
    UtilityExpectationOptimizationRun​(double optimalValue) +
    UtilityExpectationOptimizationRun Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleoptimalValue() +
    Retrieve the Optimal Value of the Utility Expectation Optimization Run
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      UtilityExpectationOptimizationRun

      +
      public UtilityExpectationOptimizationRun​(double optimalValue) + throws java.lang.Exception
      +
      UtilityExpectationOptimizationRun Constructor
      +
      +
      Parameters:
      +
      optimalValue - Optimal Value of the Utility Expectation Optimization Run
      +
      Throws:
      +
      java.lang.Exception - Thrown if Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      optimalValue

      +
      public double optimalValue()
      +
      Retrieve the Optimal Value of the Utility Expectation Optimization Run
      +
      +
      Returns:
      +
      Optimal Value of the Utility Expectation Optimization Run
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/UtilityFunction.html b/Javadoc/org/drip/oms/indifference/UtilityFunction.html index c2299e1db35..60f18108f65 100644 --- a/Javadoc/org/drip/oms/indifference/UtilityFunction.html +++ b/Javadoc/org/drip/oms/indifference/UtilityFunction.html @@ -2,10 +2,10 @@ - + UtilityFunction - + @@ -138,7 +138,7 @@

Constructor Summary

-UtilityFunction​(R1ToR1 agentObjective) +UtilityFunction​(R1ToR1 privateValuationObjective)
UtilityFunction Constructor
@@ -165,17 +165,18 @@

Method Summary

-R1ToR1 -agentObjective() +double +evaluate​(PositionVertex positionVertex, +double positionValueAdjustment) -
Retrieve the Agent's Objective Function
+
Evaluate the Utility Function at the Position Vertex using the Position Adjustment
-double -evaluate​(PositionVertex positionVertex) +R1ToR1 +privateValuationObjective() -
Evaluate the Utility Function at the Position Vertex
+
Retrieve the Agent's Private Valuation Function
@@ -199,12 +200,12 @@

Constructor Details

  • UtilityFunction

    -
    public UtilityFunction​(R1ToR1 agentObjective) +
    public UtilityFunction​(R1ToR1 privateValuationObjective) throws java.lang.Exception
    UtilityFunction Constructor
    Parameters:
    -
    agentObjective - Agent Objective Function
    +
    privateValuationObjective - Agent Objective Function
    Throws:
    java.lang.Exception - Thrown if the Inputs are Invalid
    @@ -219,25 +220,27 @@

    UtilityFunction

    Method Details

    • -
      -

      agentObjective

      -
      public R1ToR1 agentObjective()
      -
      Retrieve the Agent's Objective Function
      +
      +

      privateValuationObjective

      +
      public R1ToR1 privateValuationObjective()
      +
      Retrieve the Agent's Private Valuation Function
      Returns:
      -
      The Agent's Objective Function
      +
      The Agent's Private Valuation Function
    • -
      +

      evaluate

      -
      public double evaluate​(PositionVertex positionVertex) +
      public double evaluate​(PositionVertex positionVertex, +double positionValueAdjustment) throws java.lang.Exception
      -
      Evaluate the Utility Function at the Position Vertex
      +
      Evaluate the Utility Function at the Position Vertex using the Position Adjustment
      Parameters:
      positionVertex - Position Vertex
      +
      positionValueAdjustment - Position Value Adjustment
      Returns:
      Utility Function Value
      Throws:
      diff --git a/Javadoc/org/drip/oms/indifference/UtilityFunctionExpectation.html b/Javadoc/org/drip/oms/indifference/UtilityFunctionExpectation.html index baa5b897a0f..c590ec1c479 100644 --- a/Javadoc/org/drip/oms/indifference/UtilityFunctionExpectation.html +++ b/Javadoc/org/drip/oms/indifference/UtilityFunctionExpectation.html @@ -2,10 +2,10 @@ - + UtilityFunctionExpectation - + @@ -16,7 +16,13 @@ -
    @@ -132,8 +138,13 @@

    Constructor Summary

    -UtilityFunctionExpectation() -  +UtilityFunctionExpectation​(UtilityFunction agentOptimizer, +ClaimsPositionPricer claimsPositionPricer, +InventoryVertex inventoryVertex, +double moneyMarketPrice) + +
    UtilityFunctionExpectation Constructor
    + @@ -144,6 +155,93 @@

    Constructor Summary

  • Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleagentObjectiveValue​(double underlierPrice, +double positionValueAdjustment) +
    Compute the Agent's Objective Function Value For the Underlier Price
    +
    UtilityFunctionagentOptimizer() +
    Retrieve the Agent Optimization Utility Function
    +
    ClaimsPositionPricerclaimsPositionPricer() +
    Retrieve the Claims Position Pricer
    +
    ClaimsUtilityExpectationInferenceRuninferPositionAdjustment​(R1Univariate underlierPriceDistribution, +double targetUtilityExpectationValue) +
    Run the Position Adjustment Inference for the Claims given the Target Utility Expectation Value
    +
    ClaimsUtilityExpectationInferenceRuninferPositionAdjustment​(R1Distribution underlierPriceDistribution, +double[] underlierPriceArray, +double targetUtilityExpectationValue) +
    Run the Position Value Inference for the Claims given the Target Utility Expectation Value
    +
    InventoryVertexinventoryVertex() +
    Retrieve the Inventory Vertex
    +
    doublemoneyMarketPrice() +
    Retrieve the Price of Money Market Entity
    +
    UtilityExpectationOptimizationRunoptimizationRun​(R1Univariate underlierPriceDistribution, +double positionValueAdjustment) +
    Generate the Utility Expectation Optimization Run given the Underlier Price Distribution
    +
    UtilityExpectationOptimizationRunoptimizationRun​(R1Distribution underlierPriceDistribution, +double[] underlierPriceArray, +double positionValueAdjustment) +
    Generate the Utility Expectation Optimization Run given the Underlier Price Array and + Discrete Distribution
    +
    +
    +

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    @@ -159,9 +257,160 @@

    Methods inherited from cl

    Constructor Details

    • -
      +

      UtilityFunctionExpectation

      -
      public UtilityFunctionExpectation()
      +
      public UtilityFunctionExpectation​(UtilityFunction agentOptimizer, +ClaimsPositionPricer claimsPositionPricer, +InventoryVertex inventoryVertex, +double moneyMarketPrice) + throws java.lang.Exception
      +
      UtilityFunctionExpectation Constructor
      +
      +
      Parameters:
      +
      agentOptimizer - Agent Optimization Utility Function
      +
      claimsPositionPricer - Claims Position Pricer
      +
      inventoryVertex - Inventory Vertex
      +
      moneyMarketPrice - Price of Money Market Entity
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      agentOptimizer

      +
      public UtilityFunction agentOptimizer()
      +
      Retrieve the Agent Optimization Utility Function
      +
      +
      Returns:
      +
      Agent Optimization Utility Function
      +
      +
      +
      • +
    • +
      +

      inventoryVertex

      +
      public InventoryVertex inventoryVertex()
      +
      Retrieve the Inventory Vertex
      +
      +
      Returns:
      +
      The Inventory Vertex
      +
      +
      +
      • +
    • +
      +

      moneyMarketPrice

      +
      public double moneyMarketPrice()
      +
      Retrieve the Price of Money Market Entity
      +
      +
      Returns:
      +
      Price of Money Market Entity
      +
      +
      +
      • +
    • +
      +

      claimsPositionPricer

      +
      public ClaimsPositionPricer claimsPositionPricer()
      +
      Retrieve the Claims Position Pricer
      +
      +
      Returns:
      +
      The Claims Position Pricer
      +
      +
      +
      • +
    • +
      +

      agentObjectiveValue

      +
      public double agentObjectiveValue​(double underlierPrice, +double positionValueAdjustment) + throws java.lang.Exception
      +
      Compute the Agent's Objective Function Value For the Underlier Price
      +
      +
      Parameters:
      +
      underlierPrice - The Underlier Price
      +
      positionValueAdjustment - Position Value Adjustment
      +
      Returns:
      +
      The Agent's Objective Function Value For the Underlier Price
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Agent's Objective Function Value cannot be calculated
      +
      +
      +
      • +
    • +
      +

      optimizationRun

      +
      public UtilityExpectationOptimizationRun optimizationRun​(R1Distribution underlierPriceDistribution, +double[] underlierPriceArray, +double positionValueAdjustment)
      +
      Generate the Utility Expectation Optimization Run given the Underlier Price Array and + Discrete Distribution
      +
      +
      Parameters:
      +
      underlierPriceDistribution - Discrete Underlier Price Distribution
      +
      underlierPriceArray - Underlier Price Array
      +
      positionValueAdjustment - Position Value Adjustment
      +
      Returns:
      +
      The Utility Expectation Optimization Run Results
      +
      +
      +
      • +
    • +
      +

      inferPositionAdjustment

      +
      public ClaimsUtilityExpectationInferenceRun inferPositionAdjustment​(R1Distribution underlierPriceDistribution, +double[] underlierPriceArray, +double targetUtilityExpectationValue)
      +
      Run the Position Value Inference for the Claims given the Target Utility Expectation Value
      +
      +
      Parameters:
      +
      underlierPriceDistribution - Discrete Underlier Price Distribution
      +
      targetUtilityExpectationValue - Target Utility Expectation Value
      +
      Returns:
      +
      Claims Position Value Inference
      +
      +
      +
      • +
    • +
      +

      optimizationRun

      +
      public UtilityExpectationOptimizationRun optimizationRun​(R1Univariate underlierPriceDistribution, +double positionValueAdjustment)
      +
      Generate the Utility Expectation Optimization Run given the Underlier Price Distribution
      +
      +
      Parameters:
      +
      underlierPriceDistribution - Discrete Underlier Price Distribution
      +
      positionValueAdjustment - Position Value Adjustment
      +
      Returns:
      +
      Utility Expectation Optimization Run
      +
      +
      +
      • +
    • +
      +

      inferPositionAdjustment

      +
      public ClaimsUtilityExpectationInferenceRun inferPositionAdjustment​(R1Univariate underlierPriceDistribution, +double targetUtilityExpectationValue) + throws java.lang.Exception
      +
      Run the Position Adjustment Inference for the Claims given the Target Utility Expectation Value
      +
      +
      Parameters:
      +
      underlierPriceDistribution - Discrete Underlier Price Distribution
      +
      targetUtilityExpectationValue - Target Utility Expectation Value
      +
      Returns:
      +
      The Position Adjustment Inference Run
      +
      Throws:
      +
      java.lang.Exception
      +
    @@ -200,7 +449,7 @@

    UtilityFunctionExpectation

  • Detail: 
  • Field | 
  • Constr | 
    • -
  • Method
    • +
  • Method
    • diff --git a/Javadoc/org/drip/oms/indifference/class-use/ClaimsPositionPricer.html b/Javadoc/org/drip/oms/indifference/class-use/ClaimsPositionPricer.html new file mode 100644 index 00000000000..f5e8541f03c --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/class-use/ClaimsPositionPricer.html @@ -0,0 +1,196 @@ + + + + + +Uses of Class org.drip.oms.indifference.ClaimsPositionPricer + + + + + + + + + + + + + + +
    + +
    +
    +
    +

    Uses of Class
    org.drip.oms.indifference.ClaimsPositionPricer

    +
    +
    + + + + + + + + + + + + + + +
    Packages that use ClaimsPositionPricer
    PackageDescription
    org.drip.oms.indifference +
    Reservation Price Good-deal Bounds
    +
    +
    +
    + +
    +
    + +
    +
    + + diff --git a/Javadoc/org/drip/oms/indifference/class-use/ClaimsUtilityExpectationInferenceRun.html b/Javadoc/org/drip/oms/indifference/class-use/ClaimsUtilityExpectationInferenceRun.html new file mode 100644 index 00000000000..b36bbb4d662 --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/class-use/ClaimsUtilityExpectationInferenceRun.html @@ -0,0 +1,141 @@ + + + + + +Uses of Class org.drip.oms.indifference.ClaimsUtilityExpectationInferenceRun + + + + + + + + + + + + + + +
    + +
    +
    +
    +

    Uses of Class
    org.drip.oms.indifference.ClaimsUtilityExpectationInferenceRun

    +
    +
    + + + + + + + + + + + + + + +
    Packages that use ClaimsUtilityExpectationInferenceRun
    PackageDescription
    org.drip.oms.indifference +
    Reservation Price Good-deal Bounds
    +
    +
    +
    + +
    +
    + +
    +
    + + diff --git a/Javadoc/org/drip/oms/indifference/class-use/InventoryVertex.html b/Javadoc/org/drip/oms/indifference/class-use/InventoryVertex.html index 2a116157b7b..abe01c7ea82 100644 --- a/Javadoc/org/drip/oms/indifference/class-use/InventoryVertex.html +++ b/Javadoc/org/drip/oms/indifference/class-use/InventoryVertex.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.oms.indifference.InventoryVertex - + @@ -91,18 +91,46 @@

    Uses of InventoryVertex -ReservationPricer.initialInventory() +PositionVertex.inventory() -
    Retrieve the Initial Inventory Vertex
    +
    Retrieve the Inventory Vertex
    InventoryVertex -PositionVertex.inventory() +ReservationPricer.inventoryVertex() + +
    Retrieve the Inventory Vertex
    + + + +InventoryVertex +UtilityFunctionExpectation.inventoryVertex()
    Retrieve the Inventory Vertex
    + +InventoryVertex +ReservationPricer.optimalAskClaimsInventoryVertex() + +
    Retrieve the Optimal Ask Claims Based Inventory Vertex
    + + + +InventoryVertex +ReservationPricer.optimalBidClaimsInventoryVertex() + +
    Retrieve the Optimal Bid Claims Based Inventory Vertex
    + + + +InventoryVertex +ReservationPricer.optimalNoClaimsInventoryVertex() + +
    Retrieve the Optimal No-claims Inventory Vertex
    + + @@ -117,13 +145,22 @@

    Uses of -PositionVertex​(InventoryVertex inventory, +PositionVertex​(InventoryVertex inventory, RealizationVertex realization, -R1ToR1 claimsPayoffFunction) +ClaimsPositionPricer claimsPositionPricer)
    PositionVertex Constructor
    + +UtilityFunctionExpectation​(UtilityFunction agentOptimizer, +ClaimsPositionPricer claimsPositionPricer, +InventoryVertex inventoryVertex, +double moneyMarketPrice) + +
    UtilityFunctionExpectation Constructor
    + + diff --git a/Javadoc/org/drip/oms/indifference/class-use/PositionVertex.html b/Javadoc/org/drip/oms/indifference/class-use/PositionVertex.html index c788ba165f9..b693422d418 100644 --- a/Javadoc/org/drip/oms/indifference/class-use/PositionVertex.html +++ b/Javadoc/org/drip/oms/indifference/class-use/PositionVertex.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.oms.indifference.PositionVertex - + @@ -91,9 +91,10 @@

    Uses of double -UtilityFunction.evaluate​(PositionVertex positionVertex) +UtilityFunction.evaluate​(PositionVertex positionVertex, +double positionValueAdjustment) -
    Evaluate the Utility Function at the Position Vertex
    +
    Evaluate the Utility Function at the Position Vertex using the Position Adjustment
    diff --git a/Javadoc/org/drip/oms/indifference/class-use/RealizationVertex.html b/Javadoc/org/drip/oms/indifference/class-use/RealizationVertex.html index 0e380c7da13..bfcd118512d 100644 --- a/Javadoc/org/drip/oms/indifference/class-use/RealizationVertex.html +++ b/Javadoc/org/drip/oms/indifference/class-use/RealizationVertex.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.oms.indifference.RealizationVertex - + @@ -110,9 +110,9 @@

    Uses of -PositionVertex​(InventoryVertex inventory, +PositionVertex​(InventoryVertex inventory, RealizationVertex realization, -R1ToR1 claimsPayoffFunction) +ClaimsPositionPricer claimsPositionPricer)
    PositionVertex Constructor
    diff --git a/Javadoc/org/drip/oms/indifference/class-use/ReservationPricer.html b/Javadoc/org/drip/oms/indifference/class-use/ReservationPricer.html index 05adc961ccd..7cc7dd5810b 100644 --- a/Javadoc/org/drip/oms/indifference/class-use/ReservationPricer.html +++ b/Javadoc/org/drip/oms/indifference/class-use/ReservationPricer.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.oms.indifference.ReservationPricer - + diff --git a/Javadoc/org/drip/oms/indifference/class-use/ReservationPricingRun.html b/Javadoc/org/drip/oms/indifference/class-use/ReservationPricingRun.html new file mode 100644 index 00000000000..78fd1076ad1 --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/class-use/ReservationPricingRun.html @@ -0,0 +1,141 @@ + + + + + +Uses of Class org.drip.oms.indifference.ReservationPricingRun + + + + + + + + + + + + + + +
    + +
    +
    +
    +

    Uses of Class
    org.drip.oms.indifference.ReservationPricingRun

    +
    +
    + + + + + + + + + + + + + + +
    Packages that use ReservationPricingRun
    PackageDescription
    org.drip.oms.indifference +
    Reservation Price Good-deal Bounds
    +
    +
    +
    + +
    +
    + +
    +
    + + diff --git a/Javadoc/org/drip/oms/indifference/class-use/UtilityExpectationOptimizationRun.html b/Javadoc/org/drip/oms/indifference/class-use/UtilityExpectationOptimizationRun.html new file mode 100644 index 00000000000..d7f8705d501 --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/class-use/UtilityExpectationOptimizationRun.html @@ -0,0 +1,164 @@ + + + + + +Uses of Class org.drip.oms.indifference.UtilityExpectationOptimizationRun + + + + + + + + + + + + + + +
    + +
    +
    +
    +

    Uses of Class
    org.drip.oms.indifference.UtilityExpectationOptimizationRun

    +
    +
    + + + + + + + + + + + + + + +
    Packages that use UtilityExpectationOptimizationRun
    PackageDescription
    org.drip.oms.indifference +
    Reservation Price Good-deal Bounds
    +
    +
    +
    + +
    +
    + +
    +
    + + diff --git a/Javadoc/org/drip/oms/indifference/class-use/UtilityFunction.html b/Javadoc/org/drip/oms/indifference/class-use/UtilityFunction.html index 4ea9f76b0ca..a2f8f47b01c 100644 --- a/Javadoc/org/drip/oms/indifference/class-use/UtilityFunction.html +++ b/Javadoc/org/drip/oms/indifference/class-use/UtilityFunction.html @@ -2,10 +2,10 @@ - + Uses of Class org.drip.oms.indifference.UtilityFunction - + @@ -54,7 +54,85 @@

    Uses of Class
    org.drip.oms.indifference.UtilityFunction

    -No usage of org.drip.oms.indifference.UtilityFunction +
    + + + + + + + + + + + + + + +
    Packages that use UtilityFunction
    PackageDescription
    org.drip.oms.indifference +
    Reservation Price Good-deal Bounds
    +
    +
    +
    + +
    +