com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition.java Source code

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

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.model.option.definition.EuropeanExerciseFunction;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionExerciseFunction;
import com.opengamma.analytics.financial.model.option.definition.OptionPayoffFunction;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Expiry;

/**
 * Defines a European-style exchange-one-asset-for-another option. The holder
 * can exchange an amount $Q_1$ of the first underlying for an amount $Q_2$ of
 * the second underlying.
 * <p>
 * The payoff of this option is:
 * $$
 * \begin{eqnarray*}
 * max\left(Q_1S_1 - Q_2S_2, 0\right)
 * \end{eqnarray*}
 * $$
 * where $Q_1$ is the quantity of the first asset, $S_1$ is the spot price of
 * the first underlying, $Q_2$ is the quantity of the second asset and $S_2$ is
 * the spot price of the second underlying.
 */
public class EuropeanExchangeAssetOptionDefinition extends OptionDefinition {
    private final OptionExerciseFunction<StandardTwoAssetOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
    private final OptionPayoffFunction<StandardTwoAssetOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardTwoAssetOptionDataBundle>() {

        @SuppressWarnings("synthetic-access")
        @Override
        public double getPayoff(final StandardTwoAssetOptionDataBundle data, final Double optionPrice) {
            Validate.notNull(data, "data");
            final double s1 = data.getFirstSpot();
            final double s2 = data.getSecondSpot();
            return Math.max(_firstQuantity * s1 - _secondQuantity * s2, 0);
        }

    };
    private final double _firstQuantity;
    private final double _secondQuantity;

    /**
     * 
     * @param expiry The expiry
     * @param firstQuantity The quantity of the first asset
     * @param secondQuantity The quantity of the second asset
     */
    public EuropeanExchangeAssetOptionDefinition(final Expiry expiry, final double firstQuantity,
            final double secondQuantity) {
        super(null, expiry, null);
        ArgumentChecker.notNegativeOrZero(firstQuantity, "quantity 1");
        ArgumentChecker.notNegativeOrZero(secondQuantity, "quantity 2");
        _firstQuantity = firstQuantity;
        _secondQuantity = secondQuantity;
    }

    /**
     * 
     * @return The quantity of the first asset
     */
    public double getFirstQuantity() {
        return _firstQuantity;
    }

    /**
     * 
     * @return The quantity of the second asset
     */
    public double getSecondQuantity() {
        return _secondQuantity;
    }

    /**
     * The exercise function of this option is European (see {@link EuropeanExerciseFunction})
     * @return The exercise function
     */
    @SuppressWarnings("unchecked")
    @Override
    public OptionExerciseFunction<StandardTwoAssetOptionDataBundle> getExerciseFunction() {
        return _exerciseFunction;
    }

    /**
     * @return The payoff function
     */
    @SuppressWarnings("unchecked")
    @Override
    public OptionPayoffFunction<StandardTwoAssetOptionDataBundle> getPayoffFunction() {
        return _payoffFunction;
    }

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

}