com.opengamma.analytics.financial.model.option.pricing.analytic.formula.AmericanVanillaOption.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.option.pricing.analytic.formula.AmericanVanillaOption.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.pricing.analytic.formula;

import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.analytics.financial.model.option.definition.AmericanVanillaOptionDefinition;
import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class AmericanVanillaOption {
    private final boolean _isCall;
    private final double _timeToExpiry;
    private final double _strike;

    public AmericanVanillaOption(final double strike, final double timeToExpiry, final boolean isCall) {
        ArgumentChecker.isTrue(timeToExpiry >= 0.0, "time to expiry must be >= 0.0");
        _strike = strike;
        _timeToExpiry = timeToExpiry;
        _isCall = isCall;
    }

    public boolean isCall() {
        return _isCall;
    }

    public double getTimeToExpiry() {
        return _timeToExpiry;
    }

    public double getStrike() {
        return _strike;
    }

    /**
     * Computes the pay-off for a spot price at expiry.
     * @param spot The spot price.
     * @return The pay-off.
     */
    public double getPayoff(final double spot) {
        return isCall() ? Math.max(0, spot - _strike) : Math.max(0, _strike - spot);
    }

    public static AmericanVanillaOption fromDefinition(final AmericanVanillaOptionDefinition definition,
            final ZonedDateTime date) {
        Validate.notNull(definition, "definition");
        Validate.notNull(date, "date");
        return new AmericanVanillaOption(definition.getStrike(), definition.getTimeToExpiry(date),
                definition.isCall());
    }

    public AmericanVanillaOption withStrike(final double strike) {
        return new AmericanVanillaOption(strike, _timeToExpiry, _isCall);
    }

    public AmericanVanillaOption withTimeToExpiry(final double timeToExpiry) {
        return new AmericanVanillaOption(_strike, timeToExpiry, _isCall);
    }

    public AmericanVanillaOption withIsCall(final boolean isCall) {
        return new AmericanVanillaOption(_strike, _timeToExpiry, isCall);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + (_isCall ? 1231 : 1237);
        long temp;
        temp = Double.doubleToLongBits(_strike);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_timeToExpiry);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        return result;
    }

    @Override
    public boolean equals(final Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        final AmericanVanillaOption other = (AmericanVanillaOption) obj;
        if (_isCall != other._isCall) {
            return false;
        }
        if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
            return false;
        }
        if (Double.doubleToLongBits(_timeToExpiry) != Double.doubleToLongBits(other._timeToExpiry)) {
            return false;
        }
        return true;
    }

}