/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.equity.option; import org.apache.commons.lang.ObjectUtils; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.ExerciseDecisionType; import com.opengamma.analytics.financial.equity.future.definition.IndexFutureDefinition; import com.opengamma.analytics.financial.equity.future.derivative.EquityIndexFuture; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * */ public class EquityIndexFutureOptionDefinition implements InstrumentDefinition<EquityIndexFutureOption> { /** The expiry date */ private final ZonedDateTime _expiryDate; /** The underlying equity future */ //TODO probably best to create a separate type for equity index futures private final IndexFutureDefinition _underlying; /** The strike */ private final double _strike; /** The exercise type */ private final ExerciseDecisionType _exerciseType; /** Is the option a put or call */ private final boolean _isCall; /** The point value */ private final double _pointValue; /** The reference price is the transaction price on the transaction date and the last close price afterward */ private final double _referencePrice; /** * @param expiryDate The expiry date, not null * @param underlying The underlying equity future, not null * @param strike The strike, greater than zero * @param exerciseType The exercise type, not null * @param isCall true if call, false if put * @param pointValue The point value * @param referencePrice TODO */ public EquityIndexFutureOptionDefinition(final ZonedDateTime expiryDate, final IndexFutureDefinition underlying, final double strike, final ExerciseDecisionType exerciseType, final boolean isCall, final double pointValue, double referencePrice) { ArgumentChecker.notNull(expiryDate, "expiry date"); ArgumentChecker.notNull(underlying, "underlying"); ArgumentChecker.notNegativeOrZero(strike, "strike"); ArgumentChecker.notNull(exerciseType, "exercise type"); _expiryDate = expiryDate; _underlying = underlying; _strike = strike; _exerciseType = exerciseType; _isCall = isCall; _pointValue = pointValue; _referencePrice = referencePrice; } /** * Gets the expiry date. * @return The expiry date */ public ZonedDateTime getExpiryDate() { return _expiryDate; } /** * Gets the definition of the underlying. * @return The underlying definition */ public IndexFutureDefinition getUnderlying() { return _underlying; } /** * Gets the strike. * @return The strike */ public double getStrike() { return _strike; } /** * Gets the exercise type. * @return The exercise type */ public ExerciseDecisionType getExerciseType() { return _exerciseType; } /** * Gets the option type (put or call) * @return true if the option is a call, false if the option is a put */ public boolean isCall() { return _isCall; } /** * Gets the point value. * @return The point value */ public double getPointValue() { return _pointValue; } /** * Gets the referencePrice. * @return the referencePrice */ public double getReferencePrice() { return _referencePrice; } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _exerciseType.hashCode(); result = prime * result + _expiryDate.hashCode(); result = prime * result + (_isCall ? 1231 : 1237); long temp; temp = Double.doubleToLongBits(_strike); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_pointValue); result = prime * result + (int) (temp ^ (temp >>> 32)); temp = Double.doubleToLongBits(_referencePrice); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + _underlying.hashCode(); return result; } @Override public boolean equals(final Object obj) { if (this == obj) { return true; } if (!(obj instanceof EquityIndexFutureOptionDefinition)) { return false; } final EquityIndexFutureOptionDefinition other = (EquityIndexFutureOptionDefinition) obj; if (_exerciseType != other._exerciseType) { return false; } if (_isCall != other._isCall) { return false; } if (Double.compare(_strike, other._strike) != 0) { return false; } if (Double.compare(_referencePrice, other._referencePrice) != 0) { return false; } if (Double.compare(_pointValue, other._pointValue) != 0) { return false; } if (!ObjectUtils.equals(_expiryDate, other._expiryDate)) { return false; } if (!ObjectUtils.equals(_underlying, other._underlying)) { return false; } return true; } @Override public EquityIndexFutureOption toDerivative(final ZonedDateTime date) { ArgumentChecker.notNull(date, "date"); ArgumentChecker.inOrderOrEqual(date.toLocalDate(), _expiryDate.toLocalDate(), "valuation date", "expiry"); double timeToExpiry = TimeCalculator.getTimeBetween(date, getExpiryDate()); if (timeToExpiry == 0) { // Day of expiration: Still time value if option has not expired. // REVIEW Stephen and Casey - This essentially assumes an Expiry with accuracy of 1 day. // The intended behaviour is that an option is still alive on the expiry date timeToExpiry = 0.0015; // Approximately half a day } double timeToFutureFixing = TimeCalculator.getTimeBetween(date, _underlying.getExpiryDate()); if (timeToFutureFixing == 0) { timeToFutureFixing = 0.0015; } double timeToFutureDelivery = TimeCalculator.getTimeBetween(date, _underlying.getSettlementDate()); if (timeToFutureDelivery == 0) { timeToFutureDelivery = 0.0015; } final double futureStrike = _underlying.getStrikePrice(); final Currency currency = _underlying.getCurrency(); final double unitValue = _underlying.getUnitAmount(); final EquityIndexFuture underlying = new EquityIndexFuture(timeToFutureFixing, timeToFutureDelivery, futureStrike, currency, unitValue); return new EquityIndexFutureOption(timeToExpiry, underlying, _strike, _exerciseType, _isCall, _pointValue, _referencePrice); } @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitEquityIndexFutureOptionDefinition(this, data); } @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitEquityIndexFutureOptionDefinition(this); } }