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

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.GapOptionDefinition.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 gap option.
 * <p>
 * Gap options have European-style exercise with payoff
 * $$
 * \begin{align*}
 * \mathrm{payoff} =
 * \begin{cases}
 * 0 \quad & \mathrm{if} \quad S \leq K_1\\
 * S - K_2 \quad & \mathrm{otherwise}
 * \end{cases}
 * \end{align*}
 * $$
 * for a call and
 * $$
 * \begin{align*}
 * \mathrm{payoff} =
 * \begin{cases}
 * 0 \quad & \mathrm{if} \quad S \geq K_1\\
 * K_2 - S \quad & \mathrm{otherwise}
 * \end{cases}
 * \end{align*}
 * $$
 * for a put, where $K_1$ is the strike, $K_2$ is the payoff strike and $S$ is
 * the spot.
 */
public class GapOptionDefinition extends OptionDefinition {
    private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final OptionPayoffFunction<StandardOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardOptionDataBundle>() {

        @Override
        public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
            Validate.notNull(data);
            final double s = data.getSpot();
            final double k = getStrike();
            final double x = getPayoffStrike();
            return isCall() ? s <= k ? 0 : s - x : s >= k ? 0 : x - s;
        }
    };
    private final double _payoffStrike;

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

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

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

    public double getPayoffStrike() {
        return _payoffStrike;
    }

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

}