com.opengamma.analytics.financial.model.option.pricing.tree.DoubleBarrierOptionFunctionProvider.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.option.pricing.tree.DoubleBarrierOptionFunctionProvider.java

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/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.option.pricing.tree;

import org.apache.commons.lang.NotImplementedException;

import com.google.common.primitives.Doubles;
import com.opengamma.util.ArgumentChecker;

/**
 * European type of double barrier option
 */
public class DoubleBarrierOptionFunctionProvider extends BarrierOptionFunctionProvider {

    /**
     * 
     */
    public static enum BarrierTypes {
        /**
         * Up-and-Out-Down-and-Out
         */
        DoubleKnockOut,
        /**
         * Up-and-In-Down-and-In, not implemented
         * Knock-in type should be priced by another model
         */
        DoubleKnockIn
    }

    private double _upperBarrier;
    private CrossBarrierChecker _checkerDouble;

    /**
     * @param strike Strike price
     * @param timeToExpiry Time to expiry
     * @param steps Number of steps
     * @param isCall True if call, false if put
     * @param lowerBarrier Lower barrier price
     * @param upperBarrier Upper barrier price
     * @param typeName {@link BarrierTypes}, DownAndOut or UpAndOut
     */
    public DoubleBarrierOptionFunctionProvider(final double strike, final double timeToExpiry, final int steps,
            final boolean isCall, final double lowerBarrier, final double upperBarrier,
            final BarrierTypes typeName) {
        super(strike, timeToExpiry, steps, isCall, lowerBarrier,
                BarrierOptionFunctionProvider.BarrierTypes.DownAndOut);
        ArgumentChecker.isTrue(upperBarrier > 0., "upperBarrier should be positive");
        ArgumentChecker.isTrue(Doubles.isFinite(upperBarrier), "upperBarrier should be finite");
        ArgumentChecker.isTrue(upperBarrier > lowerBarrier, "upperBarrier should be greater than lowerBarrier");

        switch (typeName) {
        case DoubleKnockOut:
            _checkerDouble = new DoubleBarrier();
            break;
        default: //i.e., DoubleKnockIn
            throw new NotImplementedException();
        }

        _upperBarrier = upperBarrier;
    }

    @Override
    public double[] getPayoffAtExpiry(final double assetPrice, final double upOverDown) {
        final double strike = getStrike();
        final int nStepsP = getNumberOfSteps() + 1;
        final double sign = getSign();

        final double[] values = new double[nStepsP];
        double priceTmp = assetPrice;
        for (int i = 0; i < nStepsP; ++i) {
            values[i] = _checkerDouble.checkOut(priceTmp) ? 0. : Math.max(sign * (priceTmp - strike), 0.);
            priceTmp *= upOverDown;
        }
        return values;
    }

    @Override
    public double[] getNextOptionValues(final double discount, final double upProbability,
            final double downProbability, final double[] values, final double baseAssetPrice,
            final double sumCashDiv, final double downFactor, final double upOverDown, final int steps) {
        final int nStepsP = steps + 1;

        final double[] res = new double[nStepsP];
        double assetPrice = baseAssetPrice * Math.pow(downFactor, steps);
        for (int j = 0; j < nStepsP; ++j) {
            res[j] = _checkerDouble.checkOut(assetPrice + sumCashDiv) ? 0.
                    : discount * (upProbability * values[j + 1] + downProbability * values[j]);
            assetPrice *= upOverDown;
        }
        return res;
    }

    @Override
    public double[] getPayoffAtExpiryTrinomial(final double assetPrice, final double middleOverDown) {
        final double strike = getStrike();
        final int nNodes = 2 * getNumberOfSteps() + 1;
        final double sign = getSign();

        final double[] values = new double[nNodes];
        double priceTmp = assetPrice;
        for (int i = 0; i < nNodes; ++i) {
            values[i] = _checkerDouble.checkOut(priceTmp) ? 0. : Math.max(sign * (priceTmp - strike), 0.);
            priceTmp *= middleOverDown;
        }
        return values;
    }

    @Override
    public double[] getNextOptionValues(final double discount, final double upProbability,
            final double middleProbability, final double downProbability, final double[] values,
            final double baseAssetPrice, final double sumCashDiv, final double downFactor,
            final double middleOverDown, final int steps) {
        final int nNodes = 2 * steps + 1;

        final double[] res = new double[nNodes];
        double assetPrice = baseAssetPrice * Math.pow(downFactor, steps);
        for (int j = 0; j < nNodes; ++j) {
            res[j] = _checkerDouble.checkOut(assetPrice + sumCashDiv) ? 0.
                    : discount * (upProbability * values[j + 2] + middleProbability * values[j + 1]
                            + downProbability * values[j]);
            assetPrice *= middleOverDown;
        }
        return res;
    }

    @Override
    public CrossBarrierChecker getChecker() {
        return this._checkerDouble;
    }

    private CrossBarrierChecker getSuperclassChecker() {
        return super.getChecker();
    }

    /**
     * Access lower barrier
     * @return _barrier in superclass
     */
    public double getLowerBarrier() {
        return super.getBarrier();
    }

    /**
     * Access upper barrier
     * @return _upperBarrier
     */
    public double getUpperBarrier() {
        return _upperBarrier;
    }

    @Override
    public double getBarrier() {
        throw new IllegalArgumentException("Specify lower barrier or upper barrier");
    }

    /**
     * The inherited class checks barriers crossing for double knock-out option
     */
    @SuppressWarnings("synthetic-access")
    protected class DoubleBarrier extends CrossBarrierChecker {

        @Override
        public boolean checkOut(final double priceTmp) {
            return priceTmp >= _upperBarrier || getSuperclassChecker().checkOut(priceTmp);
        }

        @Override
        public boolean checkStrikeBehindBarrier() {
            return getSign() == 1. ? (_upperBarrier <= getStrike())
                    : false || getSuperclassChecker().checkStrikeBehindBarrier();
        }
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = super.hashCode();
        long temp;
        temp = Double.doubleToLongBits(_upperBarrier);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (!super.equals(obj)) {
            return false;
        }
        if (!(obj instanceof DoubleBarrierOptionFunctionProvider)) {
            return false;
        }
        DoubleBarrierOptionFunctionProvider other = (DoubleBarrierOptionFunctionProvider) obj;
        if (Double.doubleToLongBits(_upperBarrier) != Double.doubleToLongBits(other._upperBarrier)) {
            return false;
        }
        return true;
    }
}