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

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

/**
 * Class defining a cash-or-nothing option.
 * <p>
 * Cash-or-nothing options have European-style exercise with payoff
 * $$
 * \begin{align*}
 * \mathrm{payoff} =
 * \begin{cases}
 * 0 \quad & \mathrm{if} \quad S \leq K\\
 * P \quad & \mathrm{otherwise}
 * \end{cases}
 * \end{align*}
 * $$
 * and
 * $$
 * \begin{align*}
 * \mathrm{payoff} =
 * \begin{cases}
 * 0 \quad & \mathrm{if} \quad S \geq K\\
 * P \quad & \mathrm{otherwise}
 * \end{cases}
 * \end{align*}
 * $$
 * for a put, where $K$ is the strike, $P$ is the payment amount and $S$ is the spot.
 */
public class CashOrNothingOptionDefinition extends OptionDefinition {
    private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final OptionPayoffFunction<StandardOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardOptionDataBundle>() {

        @SuppressWarnings("synthetic-access")
        @Override
        public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
            Validate.notNull(data, "data");
            final double s = data.getSpot();
            final double k = getStrike();
            return isCall() ? (s < k ? _payment : 0) : s > k ? _payment : 0;
        }

    };
    private final double _payment;

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

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

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

    /**
     * @return The payment
     */
    public double getPayment() {
        return _payment;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_payment);
        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 CashOrNothingOptionDefinition other = (CashOrNothingOptionDefinition) obj;
        if (Double.doubleToLongBits(_payment) != Double.doubleToLongBits(other._payment)) {
            return false;
        }
        return true;
    }

}