/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.forex.definition;
import org.apache.commons.lang.ObjectUtils;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.InstrumentDefinitionVisitor;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.ArgumentChecker;
/**
* Class describing a digital foreign exchange European option.
* The implied strike is the absolute value of ratio of the domestic currency (currency 2) amount and the foreign currency amount (currency1).
* When the option is a call, it pays the absolute value of the payment currency amount when the spot rate is above the strike and nothing otherwise.
* When the option is a put, it pays the absolute value of the payment currency amount when the spot rate is below the strike and nothing otherwise.
*/
public class ForexOptionDigitalDefinition implements InstrumentDefinition<InstrumentDerivative> {
/**
* The underlying Forex transaction (the one entered into in case of exercise).
*/
private final ForexDefinition _underlyingForex;
/**
* The expiration date (and time) of the option.
*/
private final ZonedDateTime _expirationDate;
/**
* The call (true) / put (false) flag.
*/
private final boolean _isCall;
/**
* The long (true) / short (false) flag.
*/
private final boolean _isLong;
/**
* The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
*/
private final boolean _payDomestic;
// TODO: review description. Should we store the strike explicitly?
/**
* Constructor from the details. The default payment currency is domestic/currency 2.
* @param forex The underlying Forex transaction.
* @param expirationDate The expiration date (and time) of the option.
* @param isCall The call (true) / put (false) flag.
* @param isLong The long (true) / short (false) flag.
*/
public ForexOptionDigitalDefinition(final ForexDefinition forex, final ZonedDateTime expirationDate, final boolean isCall, final boolean isLong) {
ArgumentChecker.notNull(forex, "Underlying forex");
ArgumentChecker.notNull(expirationDate, "Expiration date");
ArgumentChecker.isTrue(!expirationDate.isAfter(forex.getExchangeDate()), "Expiration should be before payment.");
_underlyingForex = forex;
_expirationDate = expirationDate;
_isCall = isCall;
_isLong = isLong;
_payDomestic = true;
}
/**
* Constructor from the details. The default payment currency is domestic/currency 2.
* @param forex The underlying Forex transaction.
* @param expirationDate The expiration date (and time) of the option.
* @param isCall The call (true) / put (false) flag.
* @param isLong The long (true) / short (false) flag.
* @param payDomestic The flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
*/
public ForexOptionDigitalDefinition(final ForexDefinition forex, final ZonedDateTime expirationDate, final boolean isCall, final boolean isLong, final boolean payDomestic) {
ArgumentChecker.notNull(forex, "Underlying forex");
ArgumentChecker.notNull(expirationDate, "Expiration date");
ArgumentChecker.isTrue(!expirationDate.isAfter(forex.getExchangeDate()), "Expiration should be before payment.");
_underlyingForex = forex;
_expirationDate = expirationDate;
_isCall = isCall;
_isLong = isLong;
_payDomestic = payDomestic;
}
/**
* Gets the underlying Forex transaction.
* @return The underlying Forex transaction.
*/
public ForexDefinition getUnderlyingForex() {
return _underlyingForex;
}
/**
* Gets the expiration date (and time) of the option.
* @return The expiration date.
*/
public ZonedDateTime getExpirationDate() {
return _expirationDate;
}
/**
* Gets the call (true) / put (false) flag.
* @return The call / put flag.
*/
public boolean isCall() {
return _isCall;
}
/**
* Gets the long (true) / short (false) flag.
* @return The long / short flag.
*/
public boolean isLong() {
return _isLong;
}
/**
* Gets the flag indicating which currency is paid. If true, the domestic currency amount is paid, if false, the foreign currency amount is paid.
* @return The payment currency flag.
*/
public boolean payDomestic() {
return _payDomestic;
}
/**
* {@inheritDoc}
* @deprecated Use the method that does not take yield curve names
*/
@Deprecated
@Override
public ForexOptionDigital toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
ArgumentChecker.notNull(date, "date");
ArgumentChecker.notNull(yieldCurveNames, "yieldCurveNames");
final Forex fx = _underlyingForex.toDerivative(date, yieldCurveNames);
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expirationTime = actAct.getDayCountFraction(date, _expirationDate);
return new ForexOptionDigital(fx, expirationTime, _isCall, _isLong, _payDomestic);
}
/**
* {@inheritDoc}
*/
@Override
public ForexOptionDigital toDerivative(final ZonedDateTime date) {
ArgumentChecker.notNull(date, "date");
final Forex fx = _underlyingForex.toDerivative(date);
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expirationTime = actAct.getDayCountFraction(date, _expirationDate);
return new ForexOptionDigital(fx, expirationTime, _isCall, _isLong, _payDomestic);
}
/**
* {@inheritDoc}
*/
@Override
public <U, V> V accept(final InstrumentDefinitionVisitor<U, V> visitor, final U data) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexOptionDigitalDefinition(this, data);
}
/**
* {@inheritDoc}
*/
@Override
public <V> V accept(final InstrumentDefinitionVisitor<?, V> visitor) {
ArgumentChecker.notNull(visitor, "visitor");
return visitor.visitForexOptionDigitalDefinition(this);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _expirationDate.hashCode();
result = prime * result + (_isCall ? 1231 : 1237);
result = prime * result + (_isLong ? 1231 : 1237);
result = prime * result + (_payDomestic ? 1231 : 1237);
result = prime * result + _underlyingForex.hashCode();
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 ForexOptionDigitalDefinition other = (ForexOptionDigitalDefinition) obj;
if (!ObjectUtils.equals(_expirationDate, other._expirationDate)) {
return false;
}
if (_isCall != other._isCall) {
return false;
}
if (_isLong != other._isLong) {
return false;
}
if (_payDomestic != other._payDomestic) {
return false;
}
if (!ObjectUtils.equals(_underlyingForex, other._underlyingForex)) {
return false;
}
return true;
}
}