com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.option.definition;

import org.apache.commons.lang.Validate;

import com.opengamma.util.time.Expiry;

/**
 * 
 * Definition for an asymmetric power options (a.k.a. standard power options).
 * <p>
 * The exercise style is European. The payoff of these options is:
 * $$
 * \begin{align*}
 * c &= \max(S^i - K, 0)\\\\
 * p &= \max(K - S^i, 0)
 * \end{align*}
 * $$
 * where $K$ is the strike, $i$ is the power, with $i > 0$, and $S$ is the spot.
 */
public class AsymmetricPowerOptionDefinition extends OptionDefinition {
    private final OptionPayoffFunction<StandardOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardOptionDataBundle>() {

        @Override
        public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
            Validate.notNull(data);
            final double spot = data.getSpot();
            return isCall() ? Math.max(0, Math.pow(spot, getPower()) - getStrike())
                    : Math.max(0, getStrike() - Math.pow(spot, getPower()));
        }
    };
    private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final double _power;

    /**
     * 
     * @param strike The strike
     * @param expiry The expiry
     * @param power The power, greater than zero
     * @param isCall Is the option a call or put
     */
    public AsymmetricPowerOptionDefinition(final double strike, final Expiry expiry, final double power,
            final boolean isCall) {
        super(strike, expiry, isCall);
        Validate.isTrue(power > 0, "power must be > 0");
        _power = power;
    }

    /**
     * @return The power.
     */
    public double getPower() {
        return _power;
    }

    /**
     * {@inheritDoc}
     */
    @Override
    public OptionExerciseFunction<StandardOptionDataBundle> getExerciseFunction() {
        return _exerciseFunction;
    }

    /**
     * {@inheritDoc}
     */
    @Override
    public OptionPayoffFunction<StandardOptionDataBundle> getPayoffFunction() {
        return _payoffFunction;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_power);
        result = prime * result + (int) (temp ^ temp >>> 32);
        return result;
    }

    @Override
    public boolean equals(final Object obj) {
        if (this == obj) {
            return true;
        }
        if (!super.equals(obj)) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        final AsymmetricPowerOptionDefinition other = (AsymmetricPowerOptionDefinition) obj;
        if (Double.doubleToLongBits(_power) != Double.doubleToLongBits(other._power)) {
            return false;
        }
        return true;
    }
}