/** * 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 org.apache.commons.lang.Validate; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a vanilla foreign exchange European option. When the option is a call, the option holder has the right to enter into the Forex transaction; * if the option is a put, the option holder has the right to enter into a Forex transaction equal to the underlying but with opposite signs. * A Call on a Forex EUR 1.00 / USD -1.41 is thus the right to call 1.00 EUR and put 1.41 USD. A put on a Forex EUR -1.00 / USD 1.41 is the right to * exchange -(-1.00) EUR = 1.00 EUR and -1.41 EUR; it is thus also the right to call 1.00 EUR and put 1.41 USD. A put on a Forex USD 1.41 / EUR -1.00 is * also the right to call 1.00 EUR and put 1.41 USD. */ public class ForexOptionVanilla extends EuropeanVanillaOption implements InstrumentDerivative { /** * The underlying Forex transaction (the one entered into in case of exercise). */ private final Forex _underlyingForex; /** * The long (true) / short (false) flag. */ private final boolean _isLong; /** * 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. */ public ForexOptionVanilla(final Forex underlyingForex, final double expirationTime, final boolean isCall, final boolean isLong) { super(-underlyingForex.getPaymentCurrency2().getAmount() / underlyingForex.getPaymentCurrency1().getAmount(), expirationTime, isCall ^ (underlyingForex.getPaymentCurrency1().getAmount() < 0)); Validate.isTrue(expirationTime <= underlyingForex.getPaymentTime(), "Expiration should be before payment."); this._underlyingForex = underlyingForex; _isLong = isLong; } /** * Gets the underlying Forex transaction. * @return The underlying Forex transaction. */ public Forex getUnderlyingForex() { return _underlyingForex; } /** * Gets the long (true) / short (false) flag. * @return The long / short flag. */ public boolean isLong() { return _isLong; } /** * 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(); } @Override public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionVanilla(this, data); } @Override public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionVanilla(this); } @Override public int hashCode() { final int prime = 31; int result = super.hashCode(); 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 (!super.equals(obj)) { return false; } final ForexOptionVanilla other = (ForexOptionVanilla) obj; if (_isLong != other._isLong) { return false; } if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) { return false; } return true; } }