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

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.CappedPowerOptionDefinition.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;

/**
 * A capped power option is a power option with a cap on the maximum payoff.
 * <p>
 * The exercise style is European. The payoff of these options is:
 * $$
 * \begin{align*}
 * c &= \min(\max(S^i - K, 0), C) \\
 * p &= \min(\max(K - S^i, 0), C)
 * \end{align*}
 * $$
 * where $K$ is the strike, $i$ is the power ($i > 0$), $C$ is the cap ($C > 0$)
 * and $S$ is the spot.
 */

public class CappedPowerOptionDefinition 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.min(Math.max(Math.pow(spot, getPower()) - getStrike(), 0), getCap())
                    : Math.min(Math.max(getStrike() - Math.pow(spot, getPower()), 0), getCap());
        }
    };
    private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final double _power;
    private final double _cap;

    /**
     * 
     * @param strike The strike
     * @param expiry The expiry
     * @param power The power, not negative
     * @param cap The cap, not negative
     * @param isCall Is the option a put or call
     */
    public CappedPowerOptionDefinition(final double strike, final Expiry expiry, final double power,
            final double cap, final boolean isCall) {
        super(strike, expiry, isCall);
        Validate.isTrue(power > 0, "power must be > 0");
        Validate.isTrue(cap > 0, "cap must be > 0");
        if (!isCall && cap > strike) {
            throw new IllegalArgumentException("Cannot have cap larger than strike for a put");
        }
        _power = power;
        _cap = cap;
    }

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

    /**
     * @return The cap.
     */
    public double getCap() {
        return _cap;
    }

    /**
     * {@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(_cap);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        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 CappedPowerOptionDefinition other = (CappedPowerOptionDefinition) obj;
        if (Double.doubleToLongBits(_cap) != Double.doubleToLongBits(other._cap)) {
            return false;
        }
        if (Double.doubleToLongBits(_power) != Double.doubleToLongBits(other._power)) {
            return false;
        }
        return true;
    }
}