/**
* 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.pricing.analytic.formula;
import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.option.definition.AmericanVanillaOptionDefinition;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public class AmericanVanillaOption {
private final boolean _isCall;
private final double _timeToExpiry;
private final double _strike;
public AmericanVanillaOption(final double strike, final double timeToExpiry, final boolean isCall) {
ArgumentChecker.isTrue(timeToExpiry >= 0.0, "time to expiry must be >= 0.0");
_strike = strike;
_timeToExpiry = timeToExpiry;
_isCall = isCall;
}
public boolean isCall() {
return _isCall;
}
public double getTimeToExpiry() {
return _timeToExpiry;
}
public double getStrike() {
return _strike;
}
/**
* Computes the pay-off for a spot price at expiry.
* @param spot The spot price.
* @return The pay-off.
*/
public double getPayoff(final double spot) {
return isCall() ? Math.max(0, spot - _strike) : Math.max(0, _strike - spot);
}
public static AmericanVanillaOption fromDefinition(final AmericanVanillaOptionDefinition definition, final ZonedDateTime date) {
Validate.notNull(definition, "definition");
Validate.notNull(date, "date");
return new AmericanVanillaOption(definition.getStrike(), definition.getTimeToExpiry(date), definition.isCall());
}
public AmericanVanillaOption withStrike(final double strike) {
return new AmericanVanillaOption(strike, _timeToExpiry, _isCall);
}
public AmericanVanillaOption withTimeToExpiry(final double timeToExpiry) {
return new AmericanVanillaOption(_strike, timeToExpiry, _isCall);
}
public AmericanVanillaOption withIsCall(final boolean isCall) {
return new AmericanVanillaOption(_strike, _timeToExpiry, isCall);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + (_isCall ? 1231 : 1237);
long temp;
temp = Double.doubleToLongBits(_strike);
result = prime * result + (int) (temp ^ (temp >>> 32));
temp = Double.doubleToLongBits(_timeToExpiry);
result = prime * result + (int) (temp ^ (temp >>> 32));
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 AmericanVanillaOption other = (AmericanVanillaOption) obj;
if (_isCall != other._isCall) {
return false;
}
if (Double.doubleToLongBits(_strike) != Double.doubleToLongBits(other._strike)) {
return false;
}
if (Double.doubleToLongBits(_timeToExpiry) != Double.doubleToLongBits(other._timeToExpiry)) {
return false;
}
return true;
}
}