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
    Constructor Description
    ClaimsUtilityExpectationInferenceRun​(double optimalValue, double reservationValue)
    ClaimsUtilityExpectationInferenceRun Constructor

  • Method Summary

    Modifier and Type Method Description
    double reservationValue()
    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