Package org.drip.oms.indifference

Reservation Price Good-deal Bounds

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
ClaimsPositionPricer	ClaimsPositionPricer prices the Claims Position using Payoff on the Underlying Asset.
ClaimsUtilityExpectationInferenceRun	ClaimsUtilityExpectationInferenceRun holds the Results of the Optimal Utility Expectation Inference Run on the Claims-Based Agent Utility Function.
InventoryVertex	HoldingsVertex holds the Vertex Values of Money Market, Underlier, and Claims Inventory.
PositionVertex	PositionVertex holds the Realized Position Vertex.
RealizationVertex	RealizationVertex holds the Vertex Realization of the Money Market and the Underlier Prices.
ReservationPricer	ReservationPricer implements the Expectation of the Utility Function using the Endowment and at Payoff on the Underlying Asset.
ReservationPricingRun	ReservationPricingRun holds the Results of a Bid/Ask Reservation Pricing Run.
UtilityExpectationOptimizationRun	UtilityExpectationOptimizationRun holds the Results of the Optimal Expectation Run of the Agent Utility Function.
UtilityFunction	UtilityFunction implements the Utility Function for the Realized Position Vertex.
UtilityFunctionExpectation	UtilityFunctionExpectation implements the Expectation of Utility Function across Realized Underlier Values using its Terminal Measure.