/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import org.apache.commons.lang.Validate;
import com.opengamma.util.time.Expiry;
/**
* Class defining a cash-or-nothing option.
* <p>
* Cash-or-nothing options have European-style exercise with payoff
* $$
* \begin{align*}
* \mathrm{payoff} =
* \begin{cases}
* 0 \quad & \mathrm{if} \quad S \leq K\\
* P \quad & \mathrm{otherwise}
* \end{cases}
* \end{align*}
* $$
* and
* $$
* \begin{align*}
* \mathrm{payoff} =
* \begin{cases}
* 0 \quad & \mathrm{if} \quad S \geq K\\
* P \quad & \mathrm{otherwise}
* \end{cases}
* \end{align*}
* $$
* for a put, where $K$ is the strike, $P$ is the payment amount and $S$ is the spot.
*/
public class CashOrNothingOptionDefinition extends OptionDefinition {
private final OptionExerciseFunction<StandardOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
private final OptionPayoffFunction<StandardOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardOptionDataBundle>() {
@SuppressWarnings("synthetic-access")
@Override
public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
Validate.notNull(data, "data");
final double s = data.getSpot();
final double k = getStrike();
return isCall() ? (s < k ? _payment : 0) : s > k ? _payment : 0;
}
};
private final double _payment;
/**
* @param strike The strike
* @param expiry The expiry
* @param isCall Is the option a call or put
* @param payment The payment amount, greater than zero
*/
public CashOrNothingOptionDefinition(final double strike, final Expiry expiry, final boolean isCall, final double payment) {
super(strike, expiry, isCall);
Validate.isTrue(payment >= 0, "payment");
_payment = payment;
}
/**
* {@inheritDoc}
*/
@Override
public OptionExerciseFunction<StandardOptionDataBundle> getExerciseFunction() {
return _exerciseFunction;
}
/**
* {@inheritDoc}
*/
@Override
public OptionPayoffFunction<StandardOptionDataBundle> getPayoffFunction() {
return _payoffFunction;
}
/**
* @return The payment
*/
public double getPayment() {
return _payment;
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_payment);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final CashOrNothingOptionDefinition other = (CashOrNothingOptionDefinition) obj;
if (Double.doubleToLongBits(_payment) != Double.doubleToLongBits(other._payment)) {
return false;
}
return true;
}
}