/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.derivative;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* 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 ForexOptionDigital implements InstrumentDerivative {
/**
* The underlying Forex transaction (the one entered into in case of exercise).
*/
private final Forex _underlyingForex;
/**
* The time to expiration of the option.
*/
private final double _expirationTime;
/**
* 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;
/**
* Constructor from all details.
* @param underlyingForex The underlying Forex transaction (the one entered into in case of exercise).
* @param expirationTime 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 ForexOptionDigital(final Forex underlyingForex, final double expirationTime, final boolean isCall, final boolean isLong, final boolean payDomestic) {
ArgumentChecker.notNull(underlyingForex, "Option FX underlying");
ArgumentChecker.isTrue(expirationTime <= underlyingForex.getPaymentTime(), "Expiration should be before payment.");
_underlyingForex = underlyingForex;
_expirationTime = expirationTime;
_isCall = isCall;
_isLong = isLong;
_payDomestic = payDomestic;
}
/**
* Gets the underlying Forex transaction.
* @return The underlying Forex transaction.
*/
public Forex getUnderlyingForex() {
return _underlyingForex;
}
/**
* Gets the expiration time of the option.
* @return The time.
*/
public double getExpirationTime() {
return _expirationTime;
}
/**
* 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;
}
/**
* Gets the first currency.
* @return The currency.
*/
public Currency getCurrency1() {
return _underlyingForex.getCurrency1();
}
/**
* Gets the second currency.
* @return The currency.
*/
public Currency getCurrency2() {
return _underlyingForex.getCurrency2();
}
/**
* Gets the second currency.
* @return The currency.
*/
public double getStrike() {
return -_underlyingForex.getPaymentCurrency2().getAmount() / _underlyingForex.getPaymentCurrency1().getAmount();
}
@Override
public <S, T> T accept(final InstrumentDerivativeVisitor<S, T> visitor, final S data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexOptionDigital(this, data);
}
@Override
public <T> T accept(final InstrumentDerivativeVisitor<?, T> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexOptionDigital(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_expirationTime);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + (_isCall ? 1231 : 1237);
result = prime * result + (_isLong ? 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 ForexOptionDigital other = (ForexOptionDigital) obj;
if (Double.doubleToLongBits(_expirationTime) != Double.doubleToLongBits(other._expirationTime)) {
return false;
}
if (_isCall != other._isCall) {
return false;
}
if (_isLong != other._isLong) {
return false;
}
if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) {
return false;
}
return true;
}
}