diff --git a/Javadoc/allclasses-index.html b/Javadoc/allclasses-index.html index f6ccb891134..38b659298f8 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 InventoryVertex

+
+
java.lang.Object +
org.drip.oms.indifference.InventoryVertex
+
+
+
+
public class InventoryVertex
+extends java.lang.Object
+
HoldingsVertex holds the Vertex Values of Money Market, Underlier, and Claims Inventory. 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
    InventoryVertex​(double moneyMarketUnits, +double underlierUnits, +double claimUnits) +
    InventoryVertex Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleclaimUnits() +
    Retrieve the Number of Claim Units
    +
    doublemoneyMarketUnits() +
    Retrieve the Number of Money Market Units
    +
    doubleunderlierUnits() +
    Retrieve the Number of Underlier Units
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      InventoryVertex

      +
      public InventoryVertex​(double moneyMarketUnits, +double underlierUnits, +double claimUnits) + throws java.lang.Exception
      +
      InventoryVertex Constructor
      +
      +
      Parameters:
      +
      moneyMarketUnits - Number of Money Market Units
      +
      underlierUnits - Number of Underlier Units
      +
      claimUnits - Number of Claim Units
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      moneyMarketUnits

      +
      public double moneyMarketUnits()
      +
      Retrieve the Number of Money Market Units
      +
      +
      Returns:
      +
      Number of Money Market Units
      +
      +
      +
      • +
    • +
      +

      underlierUnits

      +
      public double underlierUnits()
      +
      Retrieve the Number of Underlier Units
      +
      +
      Returns:
      +
      Number of Underlier Units
      +
      +
      +
      • +
    • +
      +

      claimUnits

      +
      public double claimUnits()
      +
      Retrieve the Number of Claim Units
      +
      +
      Returns:
      +
      Number of Claim Units
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/PositionVertex.html b/Javadoc/org/drip/oms/indifference/PositionVertex.html new file mode 100644 index 00000000000..a67d3b6e61b --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/PositionVertex.html @@ -0,0 +1,392 @@ + + + + + +PositionVertex + + + + + + + + + + + + + + +
+ +
+
+ +
+
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 +
    • +
+ +

+
+
+
Author:
+
Lakshmi Krishnamurthy
+
+
+
+
    + +
  • +
    +

    Constructor Summary

    +
    + + + + + + + + + + + + + + +
    Constructors
    ConstructorDescription
    PositionVertex​(InventoryVertex inventory, +RealizationVertex realization, +R1ToR1 claimsPayoffFunction) +
    PositionVertex Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    R1ToR1claimsPayoffFunction() +
    Retrieve the Claims Payoff Function
    +
    doubleclaimsValue() +
    Get the Claims Value
    +
    InventoryVertexinventory() +
    Retrieve the Inventory Vertex
    +
    doublemoneyMarketValue() +
    Get the Money Market Value
    +
    RealizationVertexrealization() +
    Retrieve the Realization Vertex
    +
    doubleunderlierValue() +
    Get the Underlier Value
    +
    doublevalue() +
    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, +R1ToR1 claimsPayoffFunction) + throws java.lang.Exception
      +
      PositionVertex Constructor
      +
      +
      Parameters:
      +
      inventory - Inventory Vertex
      +
      realization - Realization Vertex
      +
      claimsPayoffFunction - Claims Payoff Function
      +
      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
      +
      +
      +
      • +
    • +
      +

      claimsPayoffFunction

      +
      public R1ToR1 claimsPayoffFunction()
      +
      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
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/RealizationVertex.html b/Javadoc/org/drip/oms/indifference/RealizationVertex.html new file mode 100644 index 00000000000..856d71bf7f1 --- /dev/null +++ b/Javadoc/org/drip/oms/indifference/RealizationVertex.html @@ -0,0 +1,294 @@ + + + + + +RealizationVertex + + + + + + + + + + + + + + +
+ +
+
+ +
+
Package org.drip.oms.indifference
+

Class RealizationVertex

+
+
java.lang.Object +
org.drip.oms.indifference.RealizationVertex
+
+
+
+
public class RealizationVertex
+extends java.lang.Object
+
RealizationVertex holds the Vertex Realization of the Money Market and the Underlier Prices. 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
    RealizationVertex​(double moneyMarketPrice, +double underlierPrice) +
    RealizationVertex Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doublemoneyMarketPrice() +
    Retrieve the Price of Money Market Entity
    +
    doubleunderlierPrice() +
    Retrieve the Price of the Underlier
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      RealizationVertex

      +
      public RealizationVertex​(double moneyMarketPrice, +double underlierPrice) + throws java.lang.Exception
      +
      RealizationVertex Constructor
      +
      +
      Parameters:
      +
      moneyMarketPrice - Unit Money Market Price
      +
      underlierPrice - Unit Underlier Price
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      moneyMarketPrice

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

      underlierPrice

      +
      public double underlierPrice()
      +
      Retrieve the Price of the Underlier
      +
      +
      Returns:
      +
      Price of the Underlier
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/ReservationPriceRun.html b/Javadoc/org/drip/oms/indifference/ReservationPriceRun.html index 7f896c99770..fe2720386ff 100644 --- a/Javadoc/org/drip/oms/indifference/ReservationPriceRun.html +++ b/Javadoc/org/drip/oms/indifference/ReservationPriceRun.html @@ -2,10 +2,10 @@ - + ReservationPriceRun - + diff --git a/Javadoc/org/drip/oms/indifference/ReservationPricer.html b/Javadoc/org/drip/oms/indifference/ReservationPricer.html index 3a5146d1bd4..33033701b57 100644 --- a/Javadoc/org/drip/oms/indifference/ReservationPricer.html +++ b/Javadoc/org/drip/oms/indifference/ReservationPricer.html @@ -2,10 +2,10 @@ - + ReservationPricer - + @@ -16,7 +16,7 @@ - + + + + + + +
+ +
+
+ +
+
Package org.drip.oms.indifference
+

Class ReservationPricer2

+
+
java.lang.Object +
org.drip.oms.indifference.ReservationPricer2
+
+
+
+
public class ReservationPricer2
+extends java.lang.Object
+
ReservationPricer implements the Expectation of the Utility Function using Units of 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
    ReservationPricer2​(R1ToR1 privateValuationObjectiveFunction, +R1ToR1 payoffFunction) +
    ReservationPricer Constructor
    +
    +
    +
    +
    • + +
  • +
    +

    Method Summary

    +
    +
    +
    + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +
    Modifier and TypeMethodDescription
    doubleclaimsAdjustedPrice​(R1ToR1 optimalUtilityExpectationFunction, +double indifferencePrice) +
    Compute the Claims Adjusted Price
    +
    doubleclaimsAdjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +double terminalRisklessPrice, +double terminalUnderlierPrice, +double underlierUnits, +double claimUnits) +
    Compute the Claims Adjusted Utility Value
    +
    doubleclaimsAdjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +R1Univariate terminalUnderlierDistribution, +double terminalRisklessPrice, +double underlierUnits, +double claimUnits) +
    Compute Claims Adjusted Utility Value
    +
    doubleclaimsUnadjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +double terminalRisklessPrice, +double terminalUnderlierPrice, +double underlierUnits) +
    Compute the Claims Unadjusted Utility Value
    +
    doubleindifferenceUtilityValue​(R1ToR1 risklessUnitsFunction, +R1Univariate terminalUnderlierDistribution, +double terminalRisklessPrice, +double underlierUnits) +
    Compute the Indifference Utility Value
    +
    R1ToR1payoffFunction() +
    Retrieve the Payoff Function
    +
    R1ToR1privateValuationObjectiveFunction() +
    Retrieve the Private Valuation Utility Function
    +
    +
    +
    +
    +

    Methods inherited from class java.lang.Object

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

    Constructor Details

    +
      +
    • +
      +

      ReservationPricer2

      +
      public ReservationPricer2​(R1ToR1 privateValuationObjectiveFunction, +R1ToR1 payoffFunction) + throws java.lang.Exception
      +
      ReservationPricer Constructor
      +
      +
      Parameters:
      +
      privateValuationObjectiveFunction - Private Valuation Utility Function
      +
      payoffFunction - Payoff Function
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • + +
  • +
    +

    Method Details

    +
      +
    • +
      +

      privateValuationObjectiveFunction

      +
      public R1ToR1 privateValuationObjectiveFunction()
      +
      Retrieve the Private Valuation Utility Function
      +
      +
      Returns:
      +
      The Private Valuation Utility Function
      +
      +
      +
      • +
    • +
      +

      payoffFunction

      +
      public R1ToR1 payoffFunction()
      +
      Retrieve the Payoff Function
      +
      +
      Returns:
      +
      The Payoff Function
      +
      +
      +
      • +
    • +
      +

      claimsAdjustedPrice

      +
      public double claimsAdjustedPrice​(R1ToR1 optimalUtilityExpectationFunction, +double indifferencePrice) + throws java.lang.Exception
      +
      Compute the Claims Adjusted Price
      +
      +
      Parameters:
      +
      optimalUtilityExpectationFunction - The Optimal Utility Expectation Function
      +
      indifferencePrice - Indifference Price
      +
      Returns:
      +
      Claims Adjusted Price
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    • +
      +

      claimsUnadjustedUtilityValue

      +
      public double claimsUnadjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +double terminalRisklessPrice, +double terminalUnderlierPrice, +double underlierUnits) + throws java.lang.Exception
      +
      Compute the Claims Unadjusted Utility Value
      +
      +
      Parameters:
      +
      risklessUnitsFunction - Riskless Units Function
      +
      terminalRisklessPrice - Terminal Riskless Price
      +
      terminalUnderlierPrice - Terminal Underlier Price
      +
      underlierUnits - Underlier Units
      +
      Returns:
      +
      Baseline Utility Value
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    • +
      +

      claimsAdjustedUtilityValue

      +
      public double claimsAdjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +double terminalRisklessPrice, +double terminalUnderlierPrice, +double underlierUnits, +double claimUnits) + throws java.lang.Exception
      +
      Compute the Claims Adjusted Utility Value
      +
      +
      Parameters:
      +
      risklessUnitsFunction - Riskless Units Function
      +
      terminalRisklessPrice - Terminal Riskless Price
      +
      terminalUnderlierPrice - Terminal Underlier Price
      +
      underlierUnits - Underlier Units
      +
      claimUnits - Claims Units
      +
      Returns:
      +
      Claims Adjusted Utility Value
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    • +
      +

      indifferenceUtilityValue

      +
      public double indifferenceUtilityValue​(R1ToR1 risklessUnitsFunction, +R1Univariate terminalUnderlierDistribution, +double terminalRisklessPrice, +double underlierUnits) + throws java.lang.Exception
      +
      Compute the Indifference Utility Value
      +
      +
      Parameters:
      +
      risklessUnitsFunction - Riskless Units Function
      +
      terminalUnderlierDistribution - Terminal Underlier Distribution
      +
      terminalRisklessPrice - Terminal Riskless Price
      +
      underlierUnits - Underlier Units
      +
      Returns:
      +
      The Indifference Utility Value
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    • +
      +

      claimsAdjustedUtilityValue

      +
      public double claimsAdjustedUtilityValue​(R1ToR1 risklessUnitsFunction, +R1Univariate terminalUnderlierDistribution, +double terminalRisklessPrice, +double underlierUnits, +double claimUnits) + throws java.lang.Exception
      +
      Compute Claims Adjusted Utility Value
      +
      +
      Parameters:
      +
      risklessUnitsFunction - Riskless Units Function
      +
      terminalUnderlierDistribution - Terminal Underlier Distribution
      +
      terminalRisklessPrice - Terminal Riskless Price
      +
      underlierUnits - Underlier Units
      +
      claimUnits - Claims Units
      +
      Returns:
      +
      Claims Adjusted Utility Value
      +
      Throws:
      +
      java.lang.Exception - Thrown if the Inputs are Invalid
      +
      +
      +
      • +
    +
    +
    • +
+
+ +
+ +
+
+ + diff --git a/Javadoc/org/drip/oms/indifference/ReservationPricerProcessShell.html b/Javadoc/org/drip/oms/indifference/ReservationPricerProcessShell.html index feb2d07fbb4..b0819b2e4cd 100644 --- a/Javadoc/org/drip/oms/indifference/ReservationPricerProcessShell.html +++ b/Javadoc/org/drip/oms/indifference/ReservationPricerProcessShell.html @@ -2,10 +2,10 @@ - + ReservationPricerProcessShell - + @@ -138,8 +138,8 @@

Constructor Summary

-ReservationPricerProcessShell​(double endowmentValue, -ReservationPricer reservationPricer) +ReservationPricerProcessShell​(double endowmentValue, +ReservationPricer2 reservationPricer)
ReservationPricerProcessShell Constructor
@@ -185,7 +185,7 @@

Method Summary

-ReservationPricer +ReservationPricer2 reservationPricer()
Retrieve the Reservation Pricer
@@ -218,10 +218,10 @@

Methods inherited from cl

Constructor Details