/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.forex.definition; import org.apache.commons.lang.ObjectUtils; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.forex.derivative.Forex; import com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.util.ArgumentChecker; /** * Class describing a digital foreign exchange European option. * The implied strike is the absolute value of ratio of the domestic currency (currency 2) amount and the foreign currency amount (currency1). * When the option is a call, it pays the absolute value of the payment currency amount when the spot rate is above the strike and nothing otherwise. * When the option is a put, it pays the absolute value of the payment currency amount when the spot rate is below the strike and nothing otherwise. */ public class ForexOptionDigitalDefinition implements InstrumentDefinition<InstrumentDerivative> { /** * The underlying Forex transaction (the one entered into in case of exercise). */ private final ForexDefinition _underlyingForex; /** * The expiration date (and time) of the option. */ private final ZonedDateTime _expirationDate; /** * The call (true) / put (false) flag. */ private final boolean _isCall; /** * The long (true) / short (false) flag. */ private final boolean _isLong; /** * The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. */ private final boolean _payDomestic; // TODO: review description. Should we store the strike explicitly? /** * Constructor from the details. The default payment currency is domestic/currency 2. * @param forex The underlying Forex transaction. * @param expirationDate The expiration date (and time) of the option. * @param isCall The call (true) / put (false) flag. * @param isLong The long (true) / short (false) flag. */ public ForexOptionDigitalDefinition(final ForexDefinition forex, final ZonedDateTime expirationDate, final boolean isCall, final boolean isLong) { ArgumentChecker.notNull(forex, "Underlying forex"); ArgumentChecker.notNull(expirationDate, "Expiration date"); ArgumentChecker.isTrue(!expirationDate.isAfter(forex.getExchangeDate()), "Expiration should be before payment."); _underlyingForex = forex; _expirationDate = expirationDate; _isCall = isCall; _isLong = isLong; _payDomestic = true; } /** * Constructor from the details. The default payment currency is domestic/currency 2. * @param forex The underlying Forex transaction. * @param expirationDate The expiration date (and time) of the option. * @param isCall The call (true) / put (false) flag. * @param isLong The long (true) / short (false) flag. * @param payDomestic The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. */ public ForexOptionDigitalDefinition(final ForexDefinition forex, final ZonedDateTime expirationDate, final boolean isCall, final boolean isLong, final boolean payDomestic) { ArgumentChecker.notNull(forex, "Underlying forex"); ArgumentChecker.notNull(expirationDate, "Expiration date"); ArgumentChecker.isTrue(!expirationDate.isAfter(forex.getExchangeDate()), "Expiration should be before payment."); _underlyingForex = forex; _expirationDate = expirationDate; _isCall = isCall; _isLong = isLong; _payDomestic = payDomestic; } /** * Gets the underlying Forex transaction. * @return The underlying Forex transaction. */ public ForexDefinition getUnderlyingForex() { return _underlyingForex; } /** * Gets the expiration date (and time) of the option. * @return The expiration date. */ public ZonedDateTime getExpirationDate() { return _expirationDate; } /** * Gets the call (true) / put (false) flag. * @return The call / put flag. */ public boolean isCall() { return _isCall; } /** * Gets the long (true) / short (false) flag. * @return The long / short flag. */ public boolean isLong() { return _isLong; } /** * Gets the flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid. * @return The payment currency flag. */ public boolean payDomestic() { return _payDomestic; } /** * {@inheritDoc} */ @Override public ForexOptionDigital toDerivative(final ZonedDateTime date) { ArgumentChecker.notNull(date, "date"); final Forex fx = _underlyingForex.toDerivative(date); final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate); return new ForexOptionDigital(fx, expirationTime, _isCall, _isLong, _payDomestic); } /** * {@inheritDoc} */ @Override public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionDigitalDefinition(this, data); } /** * {@inheritDoc} */ @Override public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) { ArgumentChecker.notNull(visitor, "visitor"); return visitor.visitForexOptionDigitalDefinition(this); } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _expirationDate.hashCode(); result = prime * result + (_isCall ? 1231 : 1237); result = prime * result + (_isLong ? 1231 : 1237); result = prime * result + (_payDomestic ? 1231 : 1237); result = prime * result + _underlyingForex.hashCode(); 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 ForexOptionDigitalDefinition other = (ForexOptionDigitalDefinition) obj; if (!ObjectUtils.equals(_expirationDate, other._expirationDate)) { return false; } if (_isCall != other._isCall) { return false; } if (_isLong != other._isLong) { return false; } if (_payDomestic != other._payDomestic) { return false; } if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) { return false; } return true; } }