Package org.drip.oms.indifference

Class ReservationPricer

java.lang.Object
org.drip.oms.indifference.ReservationPricer
public class ReservationPricer
extends java.lang.Object
ReservationPricer implements the Expectation of the Utility Function using the Endowment and at 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 Details

    • ReservationPricer

      public ReservationPricer()

  • Method Details

    • inventoryVertex

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

    • utilityFunction

      public UtilityFunction utilityFunction()
      Retrieve the Utility Function
      Returns:
      The Utility Function

    • bidClaimsPositionPricer

      public ClaimsPositionPricer bidClaimsPositionPricer()
      Retrieve the Bid Claims Position Pricer
      Returns:
      The Bid Claims Position Pricer

    • askClaimsPositionPricer

      public ClaimsPositionPricer askClaimsPositionPricer()
      Retrieve the Ask Claims Position Pricer
      Returns:
      The Ask Claims Position Pricer

    • optimalNoClaimsInventoryVertex

      public InventoryVertex optimalNoClaimsInventoryVertex()
      Retrieve the Optimal No-claims Inventory Vertex
      Returns:
      Optimal No-claims Inventory Vertex

    • optimalBidClaimsInventoryVertex

      public InventoryVertex optimalBidClaimsInventoryVertex()
      Retrieve the Optimal Bid Claims Based Inventory Vertex
      Returns:
      Optimal Bid Claims Based Inventory Vertex

    • optimalAskClaimsInventoryVertex

      public InventoryVertex optimalAskClaimsInventoryVertex()
      Retrieve the Optimal Ask Claims Based Inventory Vertex
      Returns:
      Optimal Ask Claims Based Inventory Vertex

    • noClaimsInventoryUtilityExpectation

      public double noClaimsInventoryUtilityExpectation​(R1Univariate underlierPriceDistribution, double moneyMarketPrice) throws java.lang.Exception
      Compute the No-Claims Inventory-based Optimal Utility Value
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      moneyMarketPrice - Price of Money Market Entity
      Returns:
      The No-Claims Inventory-based Optimal Utility Value
      Throws:
      java.lang.Exception - Thrown if the No-Claims Inventory-based Optimal Utility Value cannot be calculated

    • noClaimsInventoryUtilityExpectation

      public double noClaimsInventoryUtilityExpectation​(R1Distribution underlierPriceDistribution, double[] underlierPriceArray, double moneyMarketPrice) throws java.lang.Exception
      Compute the No-Claims Inventory-based Optimal Utility Value
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      underlierPriceArray - Underlier Price Array
      moneyMarketPrice - Price of Money Market Entity
      Returns:
      The No-Claims Inventory-based Optimal Utility Value
      Throws:
      java.lang.Exception - Thrown if the No-Claims Inventory-based Optimal Utility Value cannot be calculated

    • bidClaimsPositionValueAdjustment

      public double bidClaimsPositionValueAdjustment​(R1Univariate underlierPriceDistribution, double moneyMarketPrice, double noClaimsInventoryUtilityExpectation) throws java.lang.Exception
      Compute the Bid Claims Inventory-based Position Value Adjustment
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      moneyMarketPrice - Price of Money Market Entity
      noClaimsInventoryUtilityExpectation - No-Claims Inventory Utility Expectation
      Returns:
      The Bid Claims Inventory-based Position Value Adjustment
      Throws:
      java.lang.Exception - Thrown if the Bid Claims Inventory-based Position Value Adjustment cannot be calculated

    • bidClaimsPositionValueAdjustment

      public double bidClaimsPositionValueAdjustment​(R1Distribution underlierPriceDistribution, double[] underlierPriceArray, double moneyMarketPrice, double noClaimsInventoryUtilityExpectation) throws java.lang.Exception
      Compute the Bid Claims Inventory-based Position Value Adjustment
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      underlierPriceArray - Underlier Price Array
      moneyMarketPrice - Price of Money Market Entity
      noClaimsInventoryUtilityExpectation - No-Claims Inventory Utility Expectation
      Returns:
      The Bid Claims Inventory-based Position Value Adjustment
      Throws:
      java.lang.Exception - Thrown if the Bid Claims Inventory-based Position Value Adjustment cannot be calculated

    • askClaimsPositionValueAdjustment

      public double askClaimsPositionValueAdjustment​(R1Univariate underlierPriceDistribution, double moneyMarketPrice, double noClaimsInventoryUtilityExpectation) throws java.lang.Exception
      Compute the Ask Claims Inventory-based Position Value Adjustment
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      moneyMarketPrice - Price of Money Market Entity
      noClaimsInventoryUtilityExpectation - No-Claims Inventory Utility Expectation
      Returns:
      The Ask Claims Inventory-based Position Value Adjustment
      Throws:
      java.lang.Exception - Thrown if the Ask Claims Inventory-based Position Value Adjustment cannot be calculated

    • askClaimsPositionValueAdjustment

      public double askClaimsPositionValueAdjustment​(R1Distribution underlierPriceDistribution, double[] underlierPriceArray, double moneyMarketPrice, double noClaimsInventoryUtilityExpectation) throws java.lang.Exception
      Compute the Ask Claims Inventory-based Position Value Adjustment
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      underlierPriceArray - Underlier Price Array
      moneyMarketPrice - Price of Money Market Entity
      noClaimsInventoryUtilityExpectation - No-Claims Inventory Utility Expectation
      Returns:
      The Ask Claims Inventory-based Position Value Adjustment
      Throws:
      java.lang.Exception - Thrown if the Bid Claims Inventory-based Position Value Adjustment cannot be calculated

    • reservationPricingRun

      public ReservationPricingRun reservationPricingRun​(R1Univariate underlierPriceDistribution, double moneyMarketPrice)
      Run a Reservation Pricing Flow
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      moneyMarketPrice - Price of Money Market Entity
      Returns:
      Reservation Pricing Flow

    • reservationPricingRun

      public ReservationPricingRun reservationPricingRun​(R1Distribution underlierPriceDistribution, double[] underlierPriceArray, double moneyMarketPrice)
      Run a Reservation Pricing Flow
      Parameters:
      underlierPriceDistribution - Discrete Underlier Price Distribution
      underlierPriceArray - Underlier Price Array
      moneyMarketPrice - Price of Money Market Entity
      Returns:
      Reservation Pricing Flow