com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.tree;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.product.common.PutCall;
/**
* European vanilla option function.
*/
@BeanDefinition(builderScope = "private")
public final class EuropeanVanillaOptionFunction
implements OptionFunction, ImmutableBean, Serializable {
/**
* The strike value.
*/
@PropertyDefinition
private final double strike;
/**
* The time to expiry.
*/
@PropertyDefinition(overrideGet = true)
private final double timeToExpiry;
/**
* The sign.
*
* The sign is +1 for call and -1 for put.
*/
@PropertyDefinition
private final double sign;
/**
* The number of time steps.
*/
@PropertyDefinition(overrideGet = true)
private final int numberOfSteps;
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* @param strike the strike
* @param timeToExpiry the time to expiry
* @param putCall put or call
* @param numberOfSteps the number of time steps
* @return the instance
*/
public static EuropeanVanillaOptionFunction of(double strike, double timeToExpiry, PutCall putCall, int numberOfSteps) {
double sign = putCall.isCall() ? 1d : -1d;
ArgChecker.isTrue(numberOfSteps > 0, "the number of steps should be positive");
return new EuropeanVanillaOptionFunction(strike, timeToExpiry, sign, numberOfSteps);
}
//-------------------------------------------------------------------------
@Override
public DoubleArray getPayoffAtExpiryTrinomial(DoubleArray stateValue) {
int nNodes = stateValue.size();
double[] values = new double[nNodes];
for (int i = 0; i < nNodes; ++i) {
values[i] = Math.max(sign * (stateValue.get(i) - strike), 0d);
}
return DoubleArray.ofUnsafe(values);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code EuropeanVanillaOptionFunction}.
* @return the meta-bean, not null
*/
public static EuropeanVanillaOptionFunction.Meta meta() {
return EuropeanVanillaOptionFunction.Meta.INSTANCE;
}
static {
MetaBean.register(EuropeanVanillaOptionFunction.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private EuropeanVanillaOptionFunction(
double strike,
double timeToExpiry,
double sign,
int numberOfSteps) {
this.strike = strike;
this.timeToExpiry = timeToExpiry;
this.sign = sign;
this.numberOfSteps = numberOfSteps;
}
@Override
public EuropeanVanillaOptionFunction.Meta metaBean() {
return EuropeanVanillaOptionFunction.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the strike value.
* @return the value of the property
*/
public double getStrike() {
return strike;
}
//-----------------------------------------------------------------------
/**
* Gets the time to expiry.
* @return the value of the property
*/
@Override
public double getTimeToExpiry() {
return timeToExpiry;
}
//-----------------------------------------------------------------------
/**
* Gets the sign.
*
* The sign is +1 for call and -1 for put.
* @return the value of the property
*/
public double getSign() {
return sign;
}
//-----------------------------------------------------------------------
/**
* Gets the number of time steps.
* @return the value of the property
*/
@Override
public int getNumberOfSteps() {
return numberOfSteps;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
EuropeanVanillaOptionFunction other = (EuropeanVanillaOptionFunction) obj;
return JodaBeanUtils.equal(strike, other.strike) &&
JodaBeanUtils.equal(timeToExpiry, other.timeToExpiry) &&
JodaBeanUtils.equal(sign, other.sign) &&
(numberOfSteps == other.numberOfSteps);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(strike);
hash = hash * 31 + JodaBeanUtils.hashCode(timeToExpiry);
hash = hash * 31 + JodaBeanUtils.hashCode(sign);
hash = hash * 31 + JodaBeanUtils.hashCode(numberOfSteps);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("EuropeanVanillaOptionFunction{");
buf.append("strike").append('=').append(JodaBeanUtils.toString(strike)).append(',').append(' ');
buf.append("timeToExpiry").append('=').append(JodaBeanUtils.toString(timeToExpiry)).append(',').append(' ');
buf.append("sign").append('=').append(JodaBeanUtils.toString(sign)).append(',').append(' ');
buf.append("numberOfSteps").append('=').append(JodaBeanUtils.toString(numberOfSteps));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code EuropeanVanillaOptionFunction}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code strike} property.
*/
private final MetaProperty strike = DirectMetaProperty.ofImmutable(
this, "strike", EuropeanVanillaOptionFunction.class, Double.TYPE);
/**
* The meta-property for the {@code timeToExpiry} property.
*/
private final MetaProperty timeToExpiry = DirectMetaProperty.ofImmutable(
this, "timeToExpiry", EuropeanVanillaOptionFunction.class, Double.TYPE);
/**
* The meta-property for the {@code sign} property.
*/
private final MetaProperty sign = DirectMetaProperty.ofImmutable(
this, "sign", EuropeanVanillaOptionFunction.class, Double.TYPE);
/**
* The meta-property for the {@code numberOfSteps} property.
*/
private final MetaProperty numberOfSteps = DirectMetaProperty.ofImmutable(
this, "numberOfSteps", EuropeanVanillaOptionFunction.class, Integer.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"strike",
"timeToExpiry",
"sign",
"numberOfSteps");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -891985998: // strike
return strike;
case -1831499397: // timeToExpiry
return timeToExpiry;
case 3530173: // sign
return sign;
case -1323103225: // numberOfSteps
return numberOfSteps;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new EuropeanVanillaOptionFunction.Builder();
}
@Override
public Class beanType() {
return EuropeanVanillaOptionFunction.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code strike} property.
* @return the meta-property, not null
*/
public MetaProperty strike() {
return strike;
}
/**
* The meta-property for the {@code timeToExpiry} property.
* @return the meta-property, not null
*/
public MetaProperty timeToExpiry() {
return timeToExpiry;
}
/**
* The meta-property for the {@code sign} property.
* @return the meta-property, not null
*/
public MetaProperty sign() {
return sign;
}
/**
* The meta-property for the {@code numberOfSteps} property.
* @return the meta-property, not null
*/
public MetaProperty numberOfSteps() {
return numberOfSteps;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -891985998: // strike
return ((EuropeanVanillaOptionFunction) bean).getStrike();
case -1831499397: // timeToExpiry
return ((EuropeanVanillaOptionFunction) bean).getTimeToExpiry();
case 3530173: // sign
return ((EuropeanVanillaOptionFunction) bean).getSign();
case -1323103225: // numberOfSteps
return ((EuropeanVanillaOptionFunction) bean).getNumberOfSteps();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code EuropeanVanillaOptionFunction}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private double strike;
private double timeToExpiry;
private double sign;
private int numberOfSteps;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -891985998: // strike
return strike;
case -1831499397: // timeToExpiry
return timeToExpiry;
case 3530173: // sign
return sign;
case -1323103225: // numberOfSteps
return numberOfSteps;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -891985998: // strike
this.strike = (Double) newValue;
break;
case -1831499397: // timeToExpiry
this.timeToExpiry = (Double) newValue;
break;
case 3530173: // sign
this.sign = (Double) newValue;
break;
case -1323103225: // numberOfSteps
this.numberOfSteps = (Integer) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public EuropeanVanillaOptionFunction build() {
return new EuropeanVanillaOptionFunction(
strike,
timeToExpiry,
sign,
numberOfSteps);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("EuropeanVanillaOptionFunction.Builder{");
buf.append("strike").append('=').append(JodaBeanUtils.toString(strike)).append(',').append(' ');
buf.append("timeToExpiry").append('=').append(JodaBeanUtils.toString(timeToExpiry)).append(',').append(' ');
buf.append("sign").append('=').append(JodaBeanUtils.toString(sign)).append(',').append(' ');
buf.append("numberOfSteps").append('=').append(JodaBeanUtils.toString(numberOfSteps));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}