/**
* 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.pricing.analytic.formula;
import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
/**
*
*/
public class EuropeanVanillaOption {
private final boolean _isCall;
private final double _t;
private final double _k;
public EuropeanVanillaOption(final double k, final double t, final boolean isCall) {
Validate.isTrue(t >= 0.0, "t must be >= 0.0");
_k = k;
_t = t;
_isCall = isCall;
}
public boolean isCall() {
return _isCall;
}
public double getTimeToExpiry() {
return _t;
}
public double getStrike() {
return _k;
}
/**
* Computes the pay-off for a spot price at expiry.
* @param spot The spot price.
* @return The pay-off.
*/
public double getPayoff(final double spot) {
return isCall() ? Math.max(0, spot - _k) : Math.max(0, _k - spot);
}
public static EuropeanVanillaOption fromDefinition(final EuropeanVanillaOptionDefinition definition, final ZonedDateTime date) {
Validate.notNull(definition, "definition");
Validate.notNull(date, "date");
return new EuropeanVanillaOption(definition.getStrike(), definition.getTimeToExpiry(date), definition.isCall());
}
public EuropeanVanillaOption withStrike(final double strike) {
return new EuropeanVanillaOption(strike, _t, _isCall);
}
public EuropeanVanillaOption withTimeToExpiry(final double timeToExpiry) {
return new EuropeanVanillaOption(_k, timeToExpiry, _isCall);
}
public EuropeanVanillaOption withIsCall(final boolean isCall) {
return new EuropeanVanillaOption(_k, _t, isCall);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + (_isCall ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_k);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_t);
result = prime * result + (int) (temp ^ (temp >>> 32));
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 EuropeanVanillaOption other = (EuropeanVanillaOption) obj;
if (_isCall != other._isCall) {
return false;
}
if (Double.doubleToLongBits(_k) != Double.doubleToLongBits(other._k)) {
return false;
}
if (Double.doubleToLongBits(_t) != Double.doubleToLongBits(other._t)) {
return false;
}
return true;
}
}