/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.equity.option.EquityOption;
import com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurveAffineDividends;
import com.opengamma.analytics.financial.model.option.pricing.analytic.RollGeskeWhaleyModel;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public final class EqyOptRollGeskeWhaleyPresentValueCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, Double> {
/** A static instance */
private static final EqyOptRollGeskeWhaleyPresentValueCalculator INSTANCE = new EqyOptRollGeskeWhaleyPresentValueCalculator();
/** The present value calculator */
private static final RollGeskeWhaleyModel MODEL = new RollGeskeWhaleyModel();
/**
* Gets the static instance
* @return The static instance
*/
public static EqyOptRollGeskeWhaleyPresentValueCalculator getInstance() {
return INSTANCE;
}
private EqyOptRollGeskeWhaleyPresentValueCalculator() {
}
@Override
public Double visitEquityIndexOption(final EquityIndexOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
return EqyOptBjerksundStenslandPresentValueCalculator.getInstance().visitEquityIndexOption(option, data);
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final double unitAmount = option.getUnitAmount();
return getPresetValue(unitAmount, s, k, t, r, data);
}
@Override
public Double visitEquityOption(final EquityOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
return EqyOptBjerksundStenslandPresentValueCalculator.getInstance().visitEquityOption(option, data);
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final double unitAmount = option.getUnitAmount();
return getPresetValue(unitAmount, s, k, t, r, data);
}
@Override
public Double visitEquityIndexFutureOption(final EquityIndexFutureOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
return EqyOptBjerksundStenslandPresentValueCalculator.getInstance().visitEquityIndexFutureOption(option, data);
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final double pointValue = option.getPointValue();
return getPresetValue(pointValue, s, k, t, r, data);
}
private double getPresetValue(final double factor, final double spot, final double strike, final double time, final double interestRate, final StaticReplicationDataBundle data) {
final ForwardCurve fCurve = data.getForwardCurve();
double[] divTime = null;
double[] divAmount = null;
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) fCurve).getDividends();
divTime = div.getTau();
divAmount = div.getAlpha();
} else {
divTime = new double[] {0. };
divAmount = new double[] {0. };
}
final double volatility = data.getVolatilitySurface().getVolatility(time, strike);
return factor * MODEL.price(spot, strike, interestRate, time, volatility, divAmount, divTime);
}
}