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

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Here is the source code for com.opengamma.analytics.financial.model.option.definition.SupershareOptionDefinition.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.ArgumentChecker;
import com.opengamma.util.time.Expiry;

/**
 * Class defining a supershare option.
 * <p>
 * Supershare options have European-style exercise with payoff
 * $$
 * \begin{align*}
 * \mathrm{payoff} =
 * \begin{cases}
 * \frac{S}{K_L} \quad & \mathrm{if} \quad K_L \leq S \leq K_H\\
 * 0\quad & \mathrm{otherwise}
 * \end{cases}
 * \end{align*}
 * $$
 * where $K_L$ is the lower bound, $K_H$ the upper bound and $S$ the spot.
 */
public class SupershareOptionDefinition 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();
            return ArgumentChecker.isInRangeExcludingHigh(_lowerBound, _upperBound, s) ? s / _lowerBound : 0;
        }
    };
    private final double _lowerBound;
    private final double _upperBound;

    /**
     * @param expiry The expiry
     * @param lowerBound The lower bound
     * @param upperBound The upper bound
     */
    public SupershareOptionDefinition(final Expiry expiry, final double lowerBound, final double upperBound) {
        super(null, expiry, null);
        Validate.isTrue(lowerBound >= 0, "lower bound must be >= 0");
        Validate.isTrue(upperBound >= 0, "upper bound must be >= 0");
        Validate.isTrue(upperBound > lowerBound, "Lower bound must be less than upper bound");
        _lowerBound = lowerBound;
        _upperBound = upperBound;
    }

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

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

    /**
     * @return The lower bound
     */
    public double getLowerBound() {
        return _lowerBound;
    }

    /**
     * @return The upper bound
     */
    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 SupershareOptionDefinition other = (SupershareOptionDefinition) obj;
        if (Double.doubleToLongBits(_lowerBound) != Double.doubleToLongBits(other._lowerBound)) {
            return false;
        }
        if (Double.doubleToLongBits(_upperBound) != Double.doubleToLongBits(other._upperBound)) {
            return false;
        }
        return true;
    }

}