/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.forex.derivative; import org.apache.commons.lang.ObjectUtils; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a digital foreign exchange European option. * The implied strike is the absolute value of ratio of the domestic currency (currency 2) amount and the foreign currency amount (currency1). * When the option is a call, it pays the absolute value of the payment currency amount when the spot rate is above the strike and nothing otherwise. * When the option is a put, it pays the absolute value of the payment currency amount when the spot rate is below the strike and nothing otherwise. */ public class ForexOptionDigital implements InstrumentDerivative { /** * The underlying Forex transaction (the one entered into in case of exercise). */ private final Forex _underlyingForex; /** * The time to expiration of the option. */ private final double _expirationTime; /** * The call (true) / put (false) flag. */ private final boolean _isCall; /** * The long (true) / short (false) flag. */ private final boolean _isLong; /** * The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. */ private final boolean _payDomestic; /** * Constructor from all details. * @param underlyingForex The underlying Forex transaction (the one entered into in case of exercise). * @param expirationTime The expiration date (and time) of the option. * @param isCall The call (true) / put (false) flag. * @param isLong The long (true) / short (false) flag. * @param payDomestic The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. */ public ForexOptionDigital(final Forex underlyingForex, final double expirationTime, final boolean isCall, final boolean isLong, final boolean payDomestic) { ArgumentChecker.notNull(underlyingForex, "Option FX underlying"); ArgumentChecker.isTrue(expirationTime <= underlyingForex.getPaymentTime(), "Expiration should be before payment."); _underlyingForex = underlyingForex; _expirationTime = expirationTime; _isCall = isCall; _isLong = isLong; _payDomestic = payDomestic; } /** * Gets the underlying Forex transaction. * @return The underlying Forex transaction. */ public Forex getUnderlyingForex() { return _underlyingForex; } /** * Gets the expiration time of the option. * @return The time. */ public double getExpirationTime() { return _expirationTime; } /** * Gets the call (true) / put (false) flag. * @return The call / put flag. */ public boolean isCall() { return _isCall; } /** * Gets the long (true) / short (false) flag. * @return The long / short flag. */ public boolean isLong() { return _isLong; } /** * Gets the flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. * @return The payment currency flag. */ public boolean payDomestic() { return _payDomestic; } /** * Gets the first currency. * @return The currency. */ public Currency getCurrency1() { return _underlyingForex.getCurrency1(); } /** * Gets the second currency. * @return The currency. */ public Currency getCurrency2() { return _underlyingForex.getCurrency2(); } /** * Gets the second currency. * @return The currency. */ public double getStrike() { return -_underlyingForex.getPaymentCurrency2().getAmount() / _underlyingForex.getPaymentCurrency1().getAmount(); } @Override public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionDigital(this, data); } @Override public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionDigital(this); } @Override public int hashCode() { final int prime = 31; int result = 1; long temp; temp = Double.doubleToLongBits(_expirationTime); result = prime * result + (int) (temp ^ (temp >>> 32)); result = prime * result + (_isCall ? 1231 : 1237); result = prime * result + (_isLong ? 1231 : 1237); result = prime * result + _underlyingForex.hashCode(); 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 ForexOptionDigital other = (ForexOptionDigital) obj; if (Double.doubleToLongBits(_expirationTime) != Double.doubleToLongBits(other._expirationTime)) { return false; } if (_isCall != other._isCall) { return false; } if (_isLong != other._isLong) { return false; } if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) { return false; } return true; } }