/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.tree;
import com.google.common.primitives.Doubles;
import com.opengamma.util.ArgumentChecker;
/**
* The payoff of European exchange-one-asset-for-another option is max(Q1 * S1 - Q2 * S2, 0) at expiration,
* where Q1 is the quantity of asset S1 and Q2 is the quantity of asset S2.
*/
public class EuropeanExchangeOptionFunctionProvider extends OptionFunctionProvider2D {
private double _quantity1;
private double _quantity2;
/**
* @param timeToExpiry Time to expiry
* @param steps Number of steps
* @param quantity1 Quantity of asset 1
* @param quantity2 Quantity of asset 2
*/
public EuropeanExchangeOptionFunctionProvider(final double timeToExpiry, final int steps, final double quantity1, final double quantity2) {
super(0., timeToExpiry, steps, true);
ArgumentChecker.isTrue(quantity1 > 0., "quantity1 should be positive");
ArgumentChecker.isTrue(Doubles.isFinite(quantity1), "quantity1 should be finite");
ArgumentChecker.isTrue(quantity2 > 0., "quantity2 should be positive");
ArgumentChecker.isTrue(Doubles.isFinite(quantity2), "quantity2 should be finite");
_quantity1 = quantity1;
_quantity2 = quantity2;
}
@Override
public double[][] getPayoffAtExpiry(final double assetPrice1, final double assetPrice2, final double upOverDown1, final double upOverDown2) {
final int nStepsP = getNumberOfSteps() + 1;
final double[][] values = new double[nStepsP][nStepsP];
double priceTmp1 = assetPrice1;
for (int i = 0; i < nStepsP; ++i) {
double priceTmp2 = assetPrice2;
for (int j = 0; j < nStepsP; ++j) {
values[i][j] = Math.max(_quantity1 * priceTmp1 - _quantity2 * priceTmp2, 0.);
priceTmp2 *= upOverDown2;
}
priceTmp1 *= upOverDown1;
}
return values;
}
public double[][] getPayoffAtExpiryTrinomial(final double assetPrice1, final double assetPrice2, final double middleOverDown1, final double middleOverDown2) {
final int nNodes = 2 * getNumberOfSteps() + 1;
final double[][] values = new double[nNodes][nNodes];
double priceTmp1 = assetPrice1;
for (int i = 0; i < nNodes; ++i) {
double priceTmp2 = assetPrice2;
for (int j = 0; j < nNodes; ++j) {
values[i][j] = Math.max(_quantity1 * priceTmp1 - _quantity2 * priceTmp2, 0.);
priceTmp2 *= middleOverDown2;
}
priceTmp1 *= middleOverDown1;
}
return values;
}
@Override
public double getSign() {
throw new IllegalArgumentException("Call/put is not relevant for this option");
}
@Override
public double getStrike() {
throw new IllegalArgumentException("Strike is not relavant for this option");
}
/**
* Access quantity of asset 1
* @return _quantity1
*/
public double getQuantity1() {
return _quantity1;
}
/**
* Access quantity of asset 2
* @return _quantity2
*/
public double getQuantity2() {
return _quantity2;
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_quantity1);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_quantity2);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (!(obj instanceof EuropeanExchangeOptionFunctionProvider)) {
return false;
}
EuropeanExchangeOptionFunctionProvider other = (EuropeanExchangeOptionFunctionProvider) obj;
if (Double.doubleToLongBits(_quantity1) != Double.doubleToLongBits(other._quantity1)) {
return false;
}
if (Double.doubleToLongBits(_quantity2) != Double.doubleToLongBits(other._quantity2)) {
return false;
}
return true;
}
}