/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.tree;
/**
*
*/
public class AmericanSingleBarrierOptionFunctionProvider extends BarrierOptionFunctionProvider {
/**
* @param strike Strike price
* @param timeToExpiry Time to expiry
* @param steps Number of steps
* @param isCall True if call, false if put
* @param barrier Barrier price
* @param typeName {@link com.opengamma.analytics.financial.model.option.pricing.tree.BarrierOptionFunctionProvider.BarrierTypes}, DownAndOut or UpAndOut
*/
public AmericanSingleBarrierOptionFunctionProvider(final double strike, final double timeToExpiry, final int steps, final boolean isCall, final double barrier, final BarrierTypes typeName) {
super(strike, timeToExpiry, steps, isCall, barrier, typeName);
}
@Override
public double[] getPayoffAtExpiry(final double assetPrice, final double downFactor, final double upOverDown) {
final double strike = getStrike();
final int nSteps = getNumberOfSteps();
final int nStepsP = nSteps + 1;
final double sign = getSign();
final double[] values = new double[nStepsP];
double priceTmp = assetPrice * Math.pow(downFactor, nSteps);
for (int i = 0; i < nStepsP; ++i) {
values[i] = getChecker().checkOut(priceTmp) ? 0. : Math.max(sign * (priceTmp - strike), 0.);
priceTmp *= upOverDown;
}
return values;
}
@Override
public double[] getNextOptionValues(final double discount, final double upProbability, final double downProbability, final double[] values, final double baseAssetPrice, final double sumCashDiv,
final double downFactor, final double upOverDown, final int steps) {
final double strike = getStrike();
final double sign = getSign();
final int nStepsP = steps + 1;
final double[] res = new double[nStepsP];
double assetPrice = baseAssetPrice * Math.pow(downFactor, steps);
for (int j = 0; j < nStepsP; ++j) {
res[j] = getChecker().checkOut(assetPrice + sumCashDiv) ? 0. : Math.max(discount * (upProbability * values[j + 1] + downProbability * values[j]), sign * (assetPrice + sumCashDiv - strike));
assetPrice *= upOverDown;
}
return res;
}
@Override
public double[] getPayoffAtExpiryTrinomial(final double assetPrice, final double downFactor, final double middleOverDown) {
final double strike = getStrike();
final int nSteps = getNumberOfSteps();
final int nNodes = 2 * getNumberOfSteps() + 1;
final double sign = getSign();
final double[] values = new double[nNodes];
double priceTmp = assetPrice * Math.pow(downFactor, nSteps);
for (int i = 0; i < nNodes; ++i) {
values[i] = getChecker().checkOut(priceTmp) ? 0. : Math.max(sign * (priceTmp - strike), 0.);
priceTmp *= middleOverDown;
}
return values;
}
@Override
public double[] getNextOptionValues(final double discount, final double upProbability, final double middleProbability, final double downProbability, final double[] values,
final double baseAssetPrice, final double sumCashDiv, final double downFactor, final double middleOverDown, final int steps) {
final double strike = getStrike();
final double sign = getSign();
final int nNodes = 2 * steps + 1;
final double[] res = new double[nNodes];
double assetPrice = baseAssetPrice * Math.pow(downFactor, steps);
for (int j = 0; j < nNodes; ++j) {
res[j] = getChecker().checkOut(assetPrice + sumCashDiv) ? 0. : Math.max(discount * (upProbability * values[j + 2] + middleProbability * values[j + 1] + downProbability * values[j]), sign *
(assetPrice + sumCashDiv - strike));
assetPrice *= middleOverDown;
}
return res;
}
@Override
public int hashCode() {
return super.hashCode();
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (!(obj instanceof AmericanSingleBarrierOptionFunctionProvider)) {
return false;
}
return super.equals(obj);
}
}