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

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.FadeInOptionDefinition.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 java.util.Iterator;

import org.apache.commons.lang.Validate;

import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Expiry;

/**
 * 
 * Definition for a fade-in option. The payoff of the option is the same as that
 * for a standard option with the size of the payoff weighted by how many
 * times the asset price was inside a pre-defined range <i>(L, U)</i>
 * 
 */
public class FadeInOptionDefinition extends OptionDefinition {
    private final OptionPayoffFunction<StandardOptionWithSpotTimeSeriesDataBundle> _payoffFunction = new OptionPayoffFunction<StandardOptionWithSpotTimeSeriesDataBundle>() {

        @Override
        public double getPayoff(final StandardOptionWithSpotTimeSeriesDataBundle data, final Double optionPrice) {
            Validate.notNull(data);
            Validate.notNull(data.getSpotTimeSeries());
            final DoubleTimeSeries<?> spotTS = data.getSpotTimeSeries();
            final Iterator<Double> iter = spotTS.valuesIterator();
            int inRange = 0;
            double value = 0;
            while (iter.hasNext()) {
                value = iter.next();
                if (value > getLowerBound() && value < getUpperBound()) {
                    inRange++;
                }
            }
            return inRange * (isCall() ? Math.max(0, data.getSpot() - getStrike())
                    : Math.max(0, getStrike() - data.getSpot())) / spotTS.size();
        }
    };
    private final OptionExerciseFunction<StandardOptionWithSpotTimeSeriesDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final double _lowerBound;
    private final double _upperBound;

    public FadeInOptionDefinition(final double strike, final Expiry expiry, final boolean isCall,
            final double lowerBound, final double upperBound) {
        super(strike, expiry, isCall);
        ArgumentChecker.notNegative(lowerBound, "lower bound");
        ArgumentChecker.notNegative(upperBound, "upper bound");
        if (upperBound < lowerBound) {
            throw new IllegalArgumentException("Upper bound was less than lower bound");
        }
        _lowerBound = lowerBound;
        _upperBound = upperBound;
    }

    public double getLowerBound() {
        return _lowerBound;
    }

    public double getUpperBound() {
        return _upperBound;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_lowerBound);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_upperBound);
        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 FadeInOptionDefinition other = (FadeInOptionDefinition) obj;
        if (Double.doubleToLongBits(_lowerBound) != Double.doubleToLongBits(other._lowerBound)) {
            return false;
        }
        if (Double.doubleToLongBits(_upperBound) != Double.doubleToLongBits(other._upperBound)) {
            return false;
        }
        return true;
    }

    @SuppressWarnings("unchecked")
    @Override
    public OptionExerciseFunction<StandardOptionWithSpotTimeSeriesDataBundle> getExerciseFunction() {
        return _exerciseFunction;
    }

    @SuppressWarnings("unchecked")
    @Override
    public OptionPayoffFunction<StandardOptionWithSpotTimeSeriesDataBundle> getPayoffFunction() {
        return _payoffFunction;
    }
}