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
    Constructor Description
    ReservationPricingRun​(double bidPrivateValue, double askPrivateValue, double noClaimsInventoryUtilityExpectation)
    ReservationPricingRun Constructor

  • Method Summary

    Modifier and Type Method Description
    double askPrivateValue()
    Retrieve the Ask Reservation Value
    double bidPrivateValue()
    Retrieve the Bid Reservation Value
    double noClaimsInventoryUtilityExpectation()
    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