/**
* 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;
import com.google.common.primitives.Doubles;
import com.opengamma.util.ArgumentChecker;
/**
* Gap call option pays 0 if S <= K1 and S-K2 if S > K1, whereas gap put option pays K2-S if S < K1 and 0 if S >= K1,
* where S is asset price at expiry.
*/
public class GapOptionFunctionProvider extends OptionFunctionProvider1D {
private double _payoffStrike;
/**
* @param strike Strike price, K1
* @param timeToExpiry Time to expiry
* @param steps Number of steps
* @param isCall True if call, false if put
* @param payoffStrike Payoff-strike, K2
*/
public GapOptionFunctionProvider(final double strike, final double timeToExpiry, final int steps, final boolean isCall, final double payoffStrike) {
super(strike, timeToExpiry, steps, isCall);
ArgumentChecker.isTrue(payoffStrike > 0., "payoffStrike should be positive");
ArgumentChecker.isTrue(Doubles.isFinite(payoffStrike), "payoffStrike should be finite");
_payoffStrike = payoffStrike;
}
@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] = sign * (priceTmp - strike) > 0. ? sign * (priceTmp - _payoffStrike) : 0.;
priceTmp *= upOverDown;
}
return values;
}
@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] = sign * (priceTmp - strike) > 0. ? sign * (priceTmp - _payoffStrike) : 0.;
priceTmp *= middleOverDown;
}
return values;
}
/**
* Access payoff-strike
* @return _payoffStrike
*/
public double getStrikePayoff() {
return _payoffStrike;
}
@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
long temp;
temp = Double.doubleToLongBits(_payoffStrike);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(Object obj) {
if (this == obj) {
return true;
}
if (!super.equals(obj)) {
return false;
}
if (!(obj instanceof GapOptionFunctionProvider)) {
return false;
}
GapOptionFunctionProvider other = (GapOptionFunctionProvider) obj;
if (Double.doubleToLongBits(_payoffStrike) != Double.doubleToLongBits(other._payoffStrike)) {
return false;
}
return true;
}
}