/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.conversion;
import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.definition.ForexDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexOptionSingleBarrierDefinition;
import com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.model.option.definition.Barrier;
import com.opengamma.analytics.financial.model.option.definition.Barrier.KnockType;
import com.opengamma.analytics.financial.model.option.definition.Barrier.ObservationType;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.option.BarrierDirection;
import com.opengamma.financial.security.option.BarrierType;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.MonitoringType;
import com.opengamma.util.money.Currency;
/**
*
*/
public class ForexSingleBarrierOptionSecurityConverter extends FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> {
public ForexSingleBarrierOptionSecurityConverter(final FinancialSecurityVisitorAdapter<InstrumentDefinition<?>> visitor) {
Validate.notNull(visitor, "visitor");
}
@Override
public InstrumentDefinition<?> visitFXBarrierOptionSecurity(final FXBarrierOptionSecurity barrierOptionSecurity) {
Validate.notNull(barrierOptionSecurity, "fx barrier option security");
Validate.isTrue(barrierOptionSecurity.getBarrierType() != BarrierType.DOUBLE, "Can only handle single barrier options");
Validate.isTrue(barrierOptionSecurity.getMonitoringType() == MonitoringType.CONTINUOUS, "Can only handle continuously-monitored barrier options");
final double level = 0; //barrierOptionSecurity.getLevel(); //TODO
final Currency putCurrency = barrierOptionSecurity.getPutCurrency();
final Currency callCurrency = barrierOptionSecurity.getCallCurrency();
final double putAmount = barrierOptionSecurity.getPutAmount();
final double callAmount = barrierOptionSecurity.getCallAmount();
final double fxRate = -putAmount / callAmount;
final ZonedDateTime expiry = barrierOptionSecurity.getExpiry().getExpiry();
final Barrier barrier = new Barrier(getKnockType(barrierOptionSecurity.getBarrierDirection()), getBarrierType(barrierOptionSecurity.getBarrierType()),
getObservationType(barrierOptionSecurity.getMonitoringType()), level);
final ZonedDateTime settlementDate = barrierOptionSecurity.getSettlementDate();
final ForexDefinition underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate); //TODO this needs its own converter
final boolean isLong = barrierOptionSecurity.isLong();
return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, true, isLong), barrier);
}
private static KnockType getKnockType(final BarrierDirection direction) {
switch (direction) {
case KNOCK_IN:
return KnockType.IN;
case KNOCK_OUT:
return KnockType.OUT;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
private static com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType getBarrierType(final BarrierType type) {
switch (type) {
case UP:
return com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType.UP;
case DOWN:
return com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType.DOWN;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
private static ObservationType getObservationType(final MonitoringType type) {
switch (type) {
case CONTINUOUS:
return ObservationType.CONTINUOUS;
default:
throw new OpenGammaRuntimeException("Should never happen");
}
}
}