com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital.java Source code

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Here is the source code for com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital.java

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/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.forex.derivative;

import org.apache.commons.lang.ObjectUtils;

import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;

/**
 * Class describing a digital foreign exchange European option.
 * The implied strike is the absolute value of ratio of the domestic currency (currency 2) amount and the foreign currency amount (currency1).
 * When the option is a call, it pays the absolute value of the payment currency amount when the spot rate is above the strike and nothing otherwise.
 * When the option is a put, it pays the absolute value of the payment currency amount when the spot rate is below the strike and nothing otherwise.
 */
public class ForexOptionDigital implements InstrumentDerivative {

    /**
     * The underlying Forex transaction (the one entered into in case of exercise).
     */
    private final Forex _underlyingForex;
    /**
     * The time to expiration of the option.
     */
    private final double _expirationTime;
    /**
     * The call (true) / put (false) flag.
     */
    private final boolean _isCall;
    /**
     * The long (true) / short (false) flag.
     */
    private final boolean _isLong;
    /**
     * The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
     */
    private final boolean _payDomestic;

    /**
     * Constructor from all details.
     * @param underlyingForex The underlying Forex transaction (the one entered into in case of exercise).
     * @param expirationTime The expiration date (and time) of the option.
     * @param isCall The call (true) / put (false) flag.
     * @param isLong The long (true) / short (false) flag.
     * @param payDomestic The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
     */
    public ForexOptionDigital(final Forex underlyingForex, final double expirationTime, final boolean isCall,
            final boolean isLong, final boolean payDomestic) {
        ArgumentChecker.notNull(underlyingForex, "Option FX underlying");
        ArgumentChecker.isTrue(expirationTime <= underlyingForex.getPaymentTime(),
                "Expiration should be before payment.");
        _underlyingForex = underlyingForex;
        _expirationTime = expirationTime;
        _isCall = isCall;
        _isLong = isLong;
        _payDomestic = payDomestic;
    }

    /**
     * Gets the underlying Forex transaction.
     * @return The underlying Forex transaction.
     */
    public Forex getUnderlyingForex() {
        return _underlyingForex;
    }

    /**
     * Gets the expiration time of the option.
     * @return The time.
     */
    public double getExpirationTime() {
        return _expirationTime;
    }

    /**
     * Gets the call (true) / put (false) flag.
     * @return The call / put flag.
     */
    public boolean isCall() {
        return _isCall;
    }

    /**
     * Gets the long (true) / short (false) flag.
     * @return The long / short flag.
     */
    public boolean isLong() {
        return _isLong;
    }

    /**
     * Gets the flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
     * @return The payment currency flag.
     */
    public boolean payDomestic() {
        return _payDomestic;
    }

    /**
     * Gets the first currency.
     * @return The currency.
     */
    public Currency getCurrency1() {
        return _underlyingForex.getCurrency1();
    }

    /**
     * Gets the second currency.
     * @return The currency.
     */
    public Currency getCurrency2() {
        return _underlyingForex.getCurrency2();
    }

    /**
     * Gets the second currency.
     * @return The currency.
     */
    public double getStrike() {
        return -_underlyingForex.getPaymentCurrency2().getAmount()
                / _underlyingForex.getPaymentCurrency1().getAmount();

    }

    @Override
    public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitForexOptionDigital(this, data);
    }

    @Override
    public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
        ArgumentChecker.notNull(visitor, "visitor");
        return visitor.visitForexOptionDigital(this);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        long temp;
        temp = Double.doubleToLongBits(_expirationTime);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + (_isCall ? 1231 : 1237);
        result = prime * result + (_isLong ? 1231 : 1237);
        result = prime * result + _underlyingForex.hashCode();
        return result;
    }

    @Override
    public boolean equals(final Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        final ForexOptionDigital other = (ForexOptionDigital) obj;
        if (Double.doubleToLongBits(_expirationTime) != Double.doubleToLongBits(other._expirationTime)) {
            return false;
        }
        if (_isCall != other._isCall) {
            return false;
        }
        if (_isLong != other._isLong) {
            return false;
        }
        if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) {
            return false;
        }
        return true;
    }

}