/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import org.apache.commons.lang.ObjectUtils;
import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.volatility.surface.DriftSurface;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
/**
*
*/
public class GeneralLogNormalOptionDataBundle extends StandardOptionDataBundle {
private final DriftSurface _drift;
/**
* Creates a data bundle for the SDE df/f = mu(f,t)dt + sigma(f,t)dw
* @param discountCurve
* @param localDrift The function mu(f,t)
* @param localVolatility The function sigma(f,t)
* @param spot Time-zero value of f
* @param date Date created
*/
public GeneralLogNormalOptionDataBundle(final YieldAndDiscountCurve discountCurve, final DriftSurface localDrift, final VolatilitySurface localVolatility, final double spot,
final ZonedDateTime date) {
super(discountCurve, 0.0, localVolatility, spot, date);
Validate.notNull(localDrift, "null localDrift");
_drift = localDrift;
}
public GeneralLogNormalOptionDataBundle(final GeneralLogNormalOptionDataBundle data) {
super(data);
_drift = data.getDriftSurface();
}
/**
* Gets the drift field.
* @return the drift
*/
public DriftSurface getDriftSurface() {
return _drift;
}
public double getLocalDrift(final double f, final double t) {
return _drift.getDrift(f, t);
}
public double getLocalVolatility(final double f, final double t) {
return getVolatility(t, f);
}
@Override
public GeneralLogNormalOptionDataBundle withInterestRateCurve(final YieldAndDiscountCurve curve) {
return new GeneralLogNormalOptionDataBundle(curve, getDriftSurface(), getVolatilitySurface(), getSpot(), getDate());
}
@Override
public GeneralLogNormalOptionDataBundle withVolatilitySurface(final VolatilitySurface surface) {
return new GeneralLogNormalOptionDataBundle(getInterestRateCurve(), getDriftSurface(), surface, getSpot(), getDate());
}
@Override
public GeneralLogNormalOptionDataBundle withDate(final ZonedDateTime date) {
return new GeneralLogNormalOptionDataBundle(getInterestRateCurve(), getDriftSurface(), getVolatilitySurface(), getSpot(), date);
}
@Override
public GeneralLogNormalOptionDataBundle withSpot(final double spot) {
return new GeneralLogNormalOptionDataBundle(getInterestRateCurve(), getDriftSurface(), getVolatilitySurface(), spot, getDate());
}
public GeneralLogNormalOptionDataBundle withDriftSurface(final DriftSurface localDrift) {
return new GeneralLogNormalOptionDataBundle(getInterestRateCurve(), localDrift, getVolatilitySurface(), getSpot(), getDate());
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + _drift.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final GeneralLogNormalOptionDataBundle other = (GeneralLogNormalOptionDataBundle) obj;
return ObjectUtils.equals(_drift, other._drift);
}
}