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

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

/**
 * 
 */
public class EuropeanVanillaOption {
    private final boolean _isCall;
    private final double _t;
    private final double _k;

    public EuropeanVanillaOption(final double k, final double t, final boolean isCall) {
        Validate.isTrue(t >= 0.0, "t must be >= 0.0");
        _k = k;
        _t = t;
        _isCall = isCall;
    }

    public boolean isCall() {
        return _isCall;
    }

    public double getTimeToExpiry() {
        return _t;
    }

    public double getStrike() {
        return _k;
    }

    /**
     * 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 - _k) : Math.max(0, _k - spot);
    }

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

    public EuropeanVanillaOption withStrike(final double strike) {
        return new EuropeanVanillaOption(strike, _t, _isCall);
    }

    public EuropeanVanillaOption withTimeToExpiry(final double timeToExpiry) {
        return new EuropeanVanillaOption(_k, timeToExpiry, _isCall);
    }

    public EuropeanVanillaOption withIsCall(final boolean isCall) {
        return new EuropeanVanillaOption(_k, _t, isCall);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + (_isCall ? 1231 : 1237);
        long temp;
        temp = Double.doubleToLongBits(_k);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_t);
        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 EuropeanVanillaOption other = (EuropeanVanillaOption) obj;
        if (_isCall != other._isCall) {
            return false;
        }
        if (Double.doubleToLongBits(_k) != Double.doubleToLongBits(other._k)) {
            return false;
        }
        if (Double.doubleToLongBits(_t) != Double.doubleToLongBits(other._t)) {
            return false;
        }
        return true;
    }

}