Features:

- Riskless Units Function Reservation Pricer (11, 12, 13) - OMS Indifference Inventory Utility Expectation (14, 15, 16) - Inventory Utility Expectation Underlier Units (17, 18, 19) - Inventory Utility Expectation Objective Function (20, 21) - Inventory Bid Ask Claims Handler (22, 23, 24) - Inventory Utility Reservation Function #1 (25, 26, 27) - Inventory Utility Reservation Function #2 (28, 29, 30) - Inventory Utility Reservation Function #3 (31, 32, 33) - OMS Indifference Reservation Pricer #1 (34, 35, 36) - OMS Indifference Reservation Pricer #2 (37) - Reservation Pricer Inventory Utility Expectation #1 (38, 39, 40) - Reservation Pricer Process Shell Flow (41, 42, 43) - Reservation Pricer Baseline Indifference Function (44, 45, 46) - Reservation Pricer Inventory Utility Expectation #2 (47, 48) - Reservation Pricer Process Shell Instance (50, 51) - Reservation Pricer Baseline Indifference Function (52, 53, 54) - Reservation Optimal Baseline Underlier Units (55, 56) - Reservation Pricer Baseline Flow #1 (57, 58) - Reservation Pricer Baseline Flow #2 (59, 60) Bug Fixes/Re-organization: - Special Function Bessel Spherical Second Estimator - Constructor (1, 2) - Special Function Bessel Spherical Second Estimator - Order Plus Three (3, 4) - Special Function Bessel Spherical Second Estimator - Order Plus Two (5, 6) - Special Function Bessel Spherical Second Estimator - Order Plus Two (5, 6) - Special Function Bessel Spherical Second Estimator - Order Zero (9, 10) - Rename Reservation Price to Pricer (49) Samples: IdeaDRIP:
lakshmiDRIP · Jan 21, 2024 · 1de1193 · 1de1193
1 parent 9d6ebef
commit 1de1193
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diff --git a/ReleaseNotes/05_24_2023.txt b/ReleaseNotes/05_24_2023.txt
@@ -0,0 +1,37 @@
+
+Features:
+
+	- Riskless Units Function Reservation Pricer (11, 12, 13)
+	- OMS Indifference Inventory Utility Expectation (14, 15, 16)
+	- Inventory Utility Expectation Underlier Units (17, 18, 19)
+	- Inventory Utility Expectation Objective Function (20, 21)
+	- Inventory Bid Ask Claims Handler (22, 23, 24)
+	- Inventory Utility Reservation Function #1 (25, 26, 27)
+	- Inventory Utility Reservation Function #2 (28, 29, 30)
+	- Inventory Utility Reservation Function #3 (31, 32, 33)
+	- OMS Indifference Reservation Pricer #1 (34, 35, 36)
+	- OMS Indifference Reservation Pricer #2 (37)
+	- Reservation Pricer Inventory Utility Expectation #1 (38, 39, 40)
+	- Reservation Pricer Process Shell Flow (41, 42, 43)
+	- Reservation Pricer Baseline Indifference Function (44, 45, 46)
+	- Reservation Pricer Inventory Utility Expectation #2 (47, 48)
+	- Reservation Pricer Process Shell Instance (50, 51)
+	- Reservation Pricer Baseline Indifference Function (52, 53, 54)
+	- Reservation Optimal Baseline Underlier Units (55, 56)
+	- Reservation Pricer Baseline Flow #1 (57, 58)
+	- Reservation Pricer Baseline Flow #2 (59, 60)
+
+
+Bug Fixes/Re-organization:
+
+	- Special Function Bessel Spherical Second Estimator - Constructor (1, 2)
+	- Special Function Bessel Spherical Second Estimator - Order Plus Three (3, 4)
+	- Special Function Bessel Spherical Second Estimator - Order Plus Two (5, 6)
+	- Special Function Bessel Spherical Second Estimator - Order Plus Two (5, 6)
+	- Special Function Bessel Spherical Second Estimator - Order Zero (9, 10)
+	- Rename Reservation Price to Pricer (49)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/oms/indifference/ReservationPricer.java b/src/main/java/org/drip/oms/indifference/ReservationPricer.java
@@ -3,7 +3,6 @@
 
 import org.drip.function.definition.R1ToR1;
 import org.drip.measure.continuous.R1Univariate;
-import org.drip.measure.discrete.R1Distribution;
 import org.drip.numerical.common.NumberUtil;
 import org.drip.numerical.integration.R1ToR1Integrator;
 
@@ -80,7 +79,8 @@
  */
 
 /**
- * <i>ReservationPricer</i> holds the main Private Reservation Pricer and its Parameters. The References are:
+ * <i>ReservationPricer</i> implements the Expectation of the Utility Function using Units of Underlying
+ *  Asset. The References are:
  *  
  * 	<br><br>
  *  <ul>
@@ -117,80 +117,18 @@
 
 public class ReservationPricer
 {
-	private double _endowmentValue = Double.NaN;
-	private R1ToR1 _privateValuationUtilityFunction = null;
 	private BidAskClaimsHandler _bidAskClaimsHandler = null;
-
-	private double expectedTerminalUtilityPrice (
-		final R1Distribution terminalDistribution)
-		throws Exception
-	{
-		if (null == terminalDistribution)
-		{
-			throw new Exception (
-				"ReservationPricer::expectedTerminalUtilityPrice => Invalid Terminal Distribution"
-			);
-		}
-
-		double expectedTerminalUtilityPrice = 0.;
-
-		for (double terminalInstance : terminalDistribution.probabilityMap().keySet())
-		{
-			expectedTerminalUtilityPrice += _privateValuationUtilityFunction.evaluate (terminalInstance) *
-				terminalDistribution.probability (terminalInstance);
-		}
-
-		return expectedTerminalUtilityPrice;
-	}
-
-	public double expectedTerminalUtilityPrice (
-		final R1Univariate terminalDistribution)
-		throws Exception
-	{
-		if (null == terminalDistribution)
-		{
-			throw new Exception (
-				"ReservationPricer::expectedTerminalUtilityPrice => Invalid Terminal Distribution"
-			);
-		}
-
-		double[] terminalSupportArray = terminalDistribution.support();
-
-		return R1ToR1Integrator.Boole (
-			new R1ToR1 (null) {
-				@Override public double evaluate (
-					double terminalInstance)
-					throws Exception
-				{
-					return _privateValuationUtilityFunction.evaluate (terminalInstance) *
-						terminalDistribution.density (terminalInstance);
-				}
-			},
-			terminalSupportArray[0],
-			terminalSupportArray[1]
-		);
-	}
+	private R1ToR1 _privateValuationObjectiveFunction = null;
 
 	/**
 	 * Retrieve the Private Valuation Utility Function
 	 * 
 	 * @return The Private Valuation Utility Function
 	 */
 
-	public R1ToR1 privateValuationUtilityFunction()
-	{
-		return _privateValuationUtilityFunction;
-	}
-
-	/**
-	 * Retrieve the Endowment Value
-	 * 
-	 * @return The Endowment Value
-	 */
-
-	public double endowmentValue()
+	public R1ToR1 privateValuationObjectiveFunction()
 	{
-		return _endowmentValue;
+		return _privateValuationObjectiveFunction;
 	}
 
 	/**
@@ -204,102 +142,38 @@ public BidAskClaimsHandler bidAskClaimsHandler()
 		return _bidAskClaimsHandler;
 	}
 
-	/**
-	 * Evaluate the Expected Terminal Endowment Utility Price
-	 * 
-	 * @param terminalEndowmentDistribution The Terminal Endowment Distribution
-	 * 
-	 * @return The Expected Terminal Endowment Utility Price
-	 * 
-	 * @throws Exception The Expected Terminal Endowment Utility Price cannot be estimated
-	 */
-
-	public double expectedTerminalEndowmentUtilityPrice (
-		final R1Distribution terminalEndowmentDistribution)
+	public double baselineIndifferenceFunction (
+		final R1ToR1 risklessUnitsFunction,
+		final R1Univariate terminalUnderlierDistribution,
+		final double terminalRisklessPrice,
+		final double underlierUnits)
 		throws Exception
 	{
-		return expectedTerminalUtilityPrice (terminalEndowmentDistribution);
-	}
-
-	/**
-	 * Evaluate the Expected Terminal Endowment Utility Price
-	 * 
-	 * @param terminalEndowmentDistribution The Terminal Endowment Distribution
-	 * 
-	 * @return The Expected Terminal Endowment Utility Price
-	 * 
-	 * @throws Exception The Expected Terminal Endowment Utility Price cannot be estimated
-	 */
-
-	public double expectedTerminalEndowmentUtilityPrice (
-		final R1Univariate terminalEndowmentDistribution)
-		throws Exception
-	{
-		return expectedTerminalUtilityPrice (terminalEndowmentDistribution);
-	}
-
-	/**
-	 * Evaluate the Expected Terminal Claims Utility Price
-	 * 
-	 * @param terminalClaimsDistribution The Terminal Claims Distribution
-	 * 
-	 * @return The Expected Terminal Claims Utility Price
-	 * 
-	 * @throws Exception The Expected Terminal Claims Utility Price cannot be estimated
-	 */
-
-	public double expectedTerminalClaimsUtilityPrice (
-		final R1Distribution terminalClaimsDistribution)
-		throws Exception
-	{
-		return expectedTerminalUtilityPrice (terminalClaimsDistribution);
-	}
-
-	/**
-	 * Evaluate the Expected Terminal Claims Utility Price
-	 * 
-	 * @param terminalClaimsDistribution The Terminal Claims Distribution
-	 * 
-	 * @return The Expected Terminal Claims Utility Price
-	 * 
-	 * @throws Exception The Expected Terminal Claims Utility Price cannot be estimated
-	 */
-
-	public double expectedTerminalClaimsUtilityPrice (
-		final R1Univariate terminalClaimsDistribution)
-		throws Exception
-	{
-		return expectedTerminalUtilityPrice (terminalClaimsDistribution);
-	}
-
-	/**
-	 * Generate the Function to calculate the Riskless Security Units from the Endowment Value
-	 * 
-	 * @param risklessPrice Riskless Security Unit Price
-	 * @param underlierPrice Underlier Security Unit Price
-	 * 
-	 * @return Riskless Units Constraint Function
-	 */
+		if (null == risklessUnitsFunction ||
+			null == terminalUnderlierDistribution ||
+			!NumberUtil.IsValid (terminalRisklessPrice) ||
+			!NumberUtil.IsValid (underlierUnits)) {
+			throw new Exception (
+				"ReservationPricer::baselineIndifferenceFunction => Invalid Terminal Distribution"
+			);
+		}
 
-	public R1ToR1 risklessUnitsConstraintFunction (
-		final double risklessPrice,
-		final double underlierPrice)
-	{
-		return !NumberUtil.IsValid (risklessPrice) || !NumberUtil.IsValid (underlierPrice) ?
-			null : new R1ToR1 (null)
-		{
-			@Override public double evaluate (
-				double underlierUnits)
-				throws Exception
-			{
-				return (_endowmentValue - underlierPrice * underlierUnits) / risklessPrice;
-			}
-		};
-	}
+		double[] terminalUnderlierSupportArray = terminalUnderlierDistribution.support();
 
-	public UtilityOptimizationRun baselineIndifferenceRun (
-		final R1ToR1 risklessUnitsConstraintFunction)
-	{
-		return null;
+		return R1ToR1Integrator.Boole (
+			new R1ToR1 (null) {
+				@Override public double evaluate (
+					double terminalUnderlierPrice)
+					throws Exception
+				{
+					return _privateValuationObjectiveFunction.evaluate (
+						terminalRisklessPrice * risklessUnitsFunction.evaluate (underlierUnits) +
+							terminalUnderlierPrice * underlierUnits
+					) * terminalUnderlierDistribution.density (terminalUnderlierPrice);
+				}
+			},
+			terminalUnderlierSupportArray[0],
+			terminalUnderlierSupportArray[1]
+		);
 	}
 }