UtilityFunction

java.lang.Object

org.drip.oms.indifference.UtilityFunction

public class UtilityFunction
extends java.lang.Object

UtilityFunction implements the Utility Function for 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

Module = Product Core Module
Library = Transaction Cost Analytics
Project = R^d Order Specification, Handling, and Management
Package = Reservation Price Good-deal Bounds

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

UtilityFunction(R1ToR1 privateValuationObjective)
UtilityFunction Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`evaluate(PositionVertex positionVertex, double positionValueAdjustment)`	Evaluate the Utility Function at the Position Vertex using the Position Adjustment
`R1ToR1`	`privateValuationObjective()`	Retrieve the Agent's Private Valuation Function

Methods inherited from class java.lang.Object

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

Constructor Details
- UtilityFunction
  
  public UtilityFunction(R1ToR1 privateValuationObjective) throws java.lang.Exception
  
  UtilityFunction Constructor
  
  Parameters:
  
  privateValuationObjective - Agent Objective Function
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- privateValuationObjective
  
  public R1ToR1 privateValuationObjective()
  
  Retrieve the Agent's Private Valuation Function
  
  Returns:
  
  The Agent's Private Valuation Function
- evaluate
  
  public double evaluate(PositionVertex positionVertex, double positionValueAdjustment) throws java.lang.Exception
  
  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:
  
  java.lang.Exception - Thrown if the Utility Function cannot be calculated