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

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition.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.ObjectUtils;
import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType;
import com.opengamma.analytics.financial.model.option.definition.Barrier.KnockType;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Expiry;

/**
 */

public class EuropeanStandardBarrierOptionDefinition extends OptionDefinition {
    private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final OptionPayoffFunction<StandardOptionDataBundle> _payoffFunction;
    private final Barrier _barrier;
    private final double _rebate;

    public EuropeanStandardBarrierOptionDefinition(final double strike, final Expiry expiry, final boolean isCall,
            final Barrier barrier) {
        this(strike, expiry, isCall, barrier, 0);
    }

    public EuropeanStandardBarrierOptionDefinition(final double strike, final Expiry expiry, final boolean isCall,
            final Barrier barrier, final double rebate) {
        super(strike, expiry, isCall);
        Validate.notNull(barrier);
        ArgumentChecker.notNegative(rebate, "rebate");
        _barrier = barrier;
        _payoffFunction = new MyOptionPayoffFunction(barrier,
                new EuropeanVanillaOptionDefinition(strike, expiry, isCall), rebate);
        _rebate = rebate;
    }

    public Barrier getBarrier() {
        return _barrier;
    }

    public double getRebate() {
        return _rebate;
    }

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

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

    @Override
    public String toString() {
        return _barrier.getBarrierType() + " and " + _barrier.getKnockType() + " " + (isCall() ? "call" : "put");
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        result = prime * result + ((_barrier == null) ? 0 : _barrier.hashCode());
        long temp;
        temp = Double.doubleToLongBits(_rebate);
        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 EuropeanStandardBarrierOptionDefinition other = (EuropeanStandardBarrierOptionDefinition) obj;
        return ObjectUtils.equals(_barrier, other._barrier)
                && Double.doubleToLongBits(_rebate) == Double.doubleToLongBits(other._rebate);
    }

    //TODO promote to its own class
    private static final class MyOptionPayoffFunction implements OptionPayoffFunction<StandardOptionDataBundle> {
        private boolean _isAlive;
        private final Barrier _b;
        private final EuropeanVanillaOptionDefinition _vanillaOption;
        private final double _r;

        public MyOptionPayoffFunction(final Barrier barrier, final EuropeanVanillaOptionDefinition vanillaOption,
                final double rebate) {
            _isAlive = barrier.getKnockType() == KnockType.IN ? false : true;
            _b = barrier;
            _vanillaOption = vanillaOption;
            _r = rebate;
        }

        @Override
        public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
            final double spot = data.getSpot();
            if (_b.getKnockType() == KnockType.IN) {
                if (_b.getBarrierType() == BarrierType.DOWN && spot <= _b.getBarrierLevel()) {
                    _isAlive = true;
                } else if (_b.getBarrierType() == BarrierType.UP && spot >= _b.getBarrierLevel()) {
                    _isAlive = true;
                }
            } else {
                if (_b.getBarrierType() == BarrierType.DOWN && spot < _b.getBarrierLevel()) {
                    _isAlive = false;
                } else if (_b.getBarrierType() == BarrierType.UP && spot > _b.getBarrierLevel()) {
                    _isAlive = false;
                }
            }
            return _isAlive ? _vanillaOption.getPayoffFunction().getPayoff(data, optionPrice) : _r;
        }
    }
}