/**
* Copyright (C) 2012 - 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.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.ExerciseDecisionType;
import com.opengamma.analytics.financial.commodity.definition.SettlementType;
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;
/**
* Calendar aware version of an Equity Option
* The definition is responsible for constructing the 'Derivative' for pricing visitors.
*/
public class EquityOptionDefinition implements InstrumentDefinition<EquityOption> {
/**
* Call if true, Put if false
*/
private final boolean _isCall;
/**
* Strike
*/
private final double _strike;
/**
* Currency
*/
private final Currency _currency;
/**
* Exercise type, European or American
*/
private final ExerciseDecisionType _exerciseType;
/**
* Expiry, date and time of last, or only, exercise decision
*/
private final ZonedDateTime _expiryDT;
/**
* Cash settlement occurs on this LocalDate
*/
private final LocalDate _settlementDate;
/**
* Point value, scaling of standard contract.
* Unit notional. A unit move in price is multiplied by this to give P&L of a single contract
*/
private final double _pointValue;
/**
* The settlement type of the option - cash or physical
*/
private final SettlementType _settlementType;
/**
* @param isCall Call if true, Put if false
* @param strike Strike, not negative or zero.
* @param currency Settlement amount currency, not null
* @param exerciseType Exercise type, not null
* @param expiryDate Expiry of last, or only, exercise decision, not null
* @param settlementDate Date for settlement, not null
* @param pointValue Unit notional. A unit move in price is multiplied by this to give P&L of a single contract. A negative amount
* represents a short position. Not zero.
* @param settlementType Whether the option is physically or cash-settled, not null
*/
public EquityOptionDefinition(final boolean isCall, final double strike, final Currency currency, final ExerciseDecisionType exerciseType,
final ZonedDateTime expiryDate, final LocalDate settlementDate, final double pointValue, final SettlementType settlementType) {
ArgumentChecker.notNegativeOrZero(strike, "strike");
ArgumentChecker.notNull(currency, "currency");
ArgumentChecker.notNull(exerciseType, "exercise type");
ArgumentChecker.notNull(expiryDate, "expiry");
ArgumentChecker.notNull(settlementDate, "settlement");
ArgumentChecker.notZero(pointValue, 1e-15, "point value");
ArgumentChecker.notNull(settlementType, "settlement type");
_isCall = isCall;
_strike = strike;
_currency = currency;
_exerciseType = exerciseType;
_expiryDT = expiryDate;
_settlementDate = settlementDate;
_pointValue = pointValue;
_settlementType = settlementType;
}
/**
* Is the option a call
* @return true if the option is a call
*/
public boolean isCall() {
return _isCall;
}
/**
* Gets the strike.
* @return the strike
*/
public double getStrike() {
return _strike;
}
/**
* Gets the currency.
* @return the currency
*/
public Currency getCurrency() {
return _currency;
}
/**
* Gets the exercise type.
* @return the exercise type
*/
public ExerciseDecisionType getExerciseType() {
return _exerciseType;
}
/**
* Gets the expiry date.
* @return the expiry date
*/
public ZonedDateTime getExpiryDate() {
return _expiryDT;
}
/**
* Gets the settlement date.
* @return the settlement date
*/
public LocalDate getSettlementDate() {
return _settlementDate;
}
/**
* Gets the point value.
* @return the point value
*/
public double getPointValue() {
return _pointValue;
}
/**
* Gets the settlement type.
* @return the settlement type
*/
public SettlementType getSettlementType() {
return _settlementType;
}
@Override
public EquityOption toDerivative(final ZonedDateTime date) {
ArgumentChecker.inOrderOrEqual(date.toLocalDate(), getExpiryDate().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 timeToSettlement = TimeCalculator.getTimeBetween(date, _settlementDate);
if (timeToSettlement == 0) {
timeToSettlement = 0.0015;
}
return new EquityOption(timeToExpiry, timeToSettlement, _strike, _isCall, _currency, _pointValue, _exerciseType, _settlementType);
}
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitEquityOptionDefinition(this, data);
}
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitEquityOptionDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _currency.hashCode();
result = prime * result + _exerciseType.hashCode();
result = prime * result + _expiryDT.hashCode();
result = prime * result + (_isCall ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_pointValue);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _settlementDate.hashCode();
result = prime * result + _settlementType.hashCode();
temp = Double.doubleToLongBits(_strike);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof EquityOptionDefinition)) {
return false;
}
final EquityOptionDefinition other = (EquityOptionDefinition) obj;
if (Double.compare(_strike, other._strike) != 0) {
return false;
}
if (_isCall != other._isCall) {
return false;
}
if (_exerciseType != other._exerciseType) {
return false;
}
if (_settlementType != other._settlementType) {
return false;
}
if (Double.compare(_pointValue, other._pointValue) != 0) {
return false;
}
if (!ObjectUtils.equals(_expiryDT, other._expiryDT)) {
return false;
}
if (!ObjectUtils.equals(_currency, other._currency)) {
return false;
}
if (!ObjectUtils.equals(_settlementDate, other._settlementDate)) {
return false;
}
return true;
}
}