/**
* 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.twoasset;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.model.option.definition.EuropeanExerciseFunction;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionExerciseFunction;
import com.opengamma.analytics.financial.model.option.definition.OptionPayoffFunction;
import com.opengamma.util.time.Expiry;
/**
*
* Defines a European-style product option.
* <p>
* The payoff of a product call option is:
* $$
* \begin{eqnarray*}
* max\left(S_1S_2 - K, 0\right)
* \end{eqnarray*}
* $$
* and that of a put is:
* $$
* \begin{eqnarray*}
* max\left(K - S_1S_2, 0\right)
* \end{eqnarray*}
* $$
* where $K$ is the strike, $S_1$ is the spot price of the first underlying and
* $S_2$ is the spot price of the second underlying.
*/
public class ProductOptionDefinition extends OptionDefinition {
private final OptionExerciseFunction<StandardTwoAssetOptionDataBundle> _exerciseFunction = new EuropeanExerciseFunction<>();
private final OptionPayoffFunction<StandardTwoAssetOptionDataBundle> _payoffFunction = new OptionPayoffFunction<StandardTwoAssetOptionDataBundle>() {
@Override
public double getPayoff(final StandardTwoAssetOptionDataBundle data, final Double optionPrice) {
Validate.notNull(data, "data");
final double s1 = data.getFirstSpot();
final double s2 = data.getSecondSpot();
return isCall() ? Math.max(s1 * s2 - getStrike(), 0) : Math.max(getStrike() - s1 * s2, 0);
}
};
/**
*
* @param strike The strike
* @param expiry The expiry
* @param isCall Is the option a call
*/
public ProductOptionDefinition(final double strike, final Expiry expiry, final boolean isCall) {
super(strike, expiry, isCall);
}
/**
* The exercise function of this option is European (see {@link EuropeanExerciseFunction})
* @return The exercise function
*/
@SuppressWarnings("unchecked")
@Override
public OptionExerciseFunction<StandardTwoAssetOptionDataBundle> getExerciseFunction() {
return _exerciseFunction;
}
/**
* @return The payoff function
*/
@SuppressWarnings("unchecked")
@Override
public OptionPayoffFunction<StandardTwoAssetOptionDataBundle> getPayoffFunction() {
return _payoffFunction;
}
}