com.opengamma.strata.product.fxopt.FxSingleBarrierOption Maven / Gradle / Ivy
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/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fxopt;
import java.io.Serializable;
import java.time.ZonedDateTime;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import org.joda.beans.Bean;
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.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.fx.FxOptionProduct;
import com.opengamma.strata.product.option.Barrier;
/**
* FX (European) single barrier option.
*
* An FX option is a financial instrument that provides an option to exchange two currencies at a specified future time
* only when barrier event occurs (knock-in option) or does not occur (knock-out option).
*
* Depending on the barrier defined in {@link Barrier}, the options are classified into four types: up-and-in,
* down-and-in, up-and-out and down-and-out.
*
* For example, an up-and-out call on a 'EUR 1.00 / USD -1.41' exchange with barrier of 1.5 is the option to
* perform a foreign exchange on the expiry date, where USD 1.41 is paid to receive EUR 1.00, only when EUR/USD rate does
* not exceed 1.5 during the barrier event observation period.
*
* In case of the occurrence (non-occurrence for knock-in options) of the barrier event, the option becomes worthless,
* or alternatively, a rebate is made.
*/
@BeanDefinition
public final class FxSingleBarrierOption
implements FxOptionProduct, Resolvable, ImmutableBean, Serializable {
/**
* The underlying FX vanilla option.
*/
@PropertyDefinition(validate = "notNull")
private final FxVanillaOption underlyingOption;
/**
* The barrier description.
*
* The barrier level stored in this field must be represented based on the direction of the currency pair in the
* underlying FX transaction.
*
* For example, if the underlying option is an option on EUR/GBP, the barrier should be a certain level of EUR/GBP rate.
*/
@PropertyDefinition(validate = "notNull")
private final Barrier barrier;
/**
* For a 'out' option, the amount is paid when the barrier is reached;
* for a 'in' option, the amount is paid at expiry if the barrier is not reached.
*
* This is the notional amount represented in one of the currency pair.
* The amount should be positive.
*/
@PropertyDefinition(get = "optional")
private final CurrencyAmount rebate;
//-------------------------------------------------------------------------
/**
* Obtains FX single barrier option with rebate.
*
* @param underlyingOption the underlying FX vanilla option
* @param barrier the barrier
* @param rebate the rebate
* @return the instance
*/
public static FxSingleBarrierOption of(FxVanillaOption underlyingOption, Barrier barrier, CurrencyAmount rebate) {
return new FxSingleBarrierOption(underlyingOption, barrier, rebate);
}
/**
* Obtains FX single barrier option without rebate.
*
* @param underlyingOption the underlying FX vanilla option
* @param barrier the barrier
* @return the instance
*/
public static FxSingleBarrierOption of(FxVanillaOption underlyingOption, Barrier barrier) {
return new FxSingleBarrierOption(underlyingOption, barrier, null);
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (rebate != null) {
ArgChecker.isTrue(rebate.getAmount() > 0d, "rebate must be positive");
ArgChecker.isTrue(underlyingOption.getUnderlying().getCurrencyPair().contains(rebate.getCurrency()),
"The rebate currency must be one of underlying currency pair");
}
}
//-------------------------------------------------------------------------
/**
* Gets currency pair of the base currency and counter currency.
*
* This currency pair is conventional, thus indifferent to the direction of FX.
*
* @return the currency pair
*/
@Override
public CurrencyPair getCurrencyPair() {
return underlyingOption.getCurrencyPair();
}
//-----------------------------------------------------------------------
/**
* Gets the underlying Fx vanilla option's expiry.
* @return the expiry
*/
@Override
public ZonedDateTime getExpiry() {
return underlyingOption.getExpiry();
}
//-------------------------------------------------------------------------
@Override
public ResolvedFxSingleBarrierOption resolve(ReferenceData refData) {
if (rebate != null) {
return ResolvedFxSingleBarrierOption.of(underlyingOption.resolve(refData), barrier, rebate);
}
return ResolvedFxSingleBarrierOption.of(underlyingOption.resolve(refData), barrier);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxSingleBarrierOption}.
* @return the meta-bean, not null
*/
public static FxSingleBarrierOption.Meta meta() {
return FxSingleBarrierOption.Meta.INSTANCE;
}
static {
MetaBean.register(FxSingleBarrierOption.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static FxSingleBarrierOption.Builder builder() {
return new FxSingleBarrierOption.Builder();
}
private FxSingleBarrierOption(
FxVanillaOption underlyingOption,
Barrier barrier,
CurrencyAmount rebate) {
JodaBeanUtils.notNull(underlyingOption, "underlyingOption");
JodaBeanUtils.notNull(barrier, "barrier");
this.underlyingOption = underlyingOption;
this.barrier = barrier;
this.rebate = rebate;
validate();
}
@Override
public FxSingleBarrierOption.Meta metaBean() {
return FxSingleBarrierOption.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying FX vanilla option.
* @return the value of the property, not null
*/
public FxVanillaOption getUnderlyingOption() {
return underlyingOption;
}
//-----------------------------------------------------------------------
/**
* Gets the barrier description.
*
* The barrier level stored in this field must be represented based on the direction of the currency pair in the
* underlying FX transaction.
*
* For example, if the underlying option is an option on EUR/GBP, the barrier should be a certain level of EUR/GBP rate.
* @return the value of the property, not null
*/
public Barrier getBarrier() {
return barrier;
}
//-----------------------------------------------------------------------
/**
* Gets for a 'out' option, the amount is paid when the barrier is reached;
* for a 'in' option, the amount is paid at expiry if the barrier is not reached.
*
* This is the notional amount represented in one of the currency pair.
* The amount should be positive.
* @return the optional value of the property, not null
*/
public Optional getRebate() {
return Optional.ofNullable(rebate);
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
FxSingleBarrierOption other = (FxSingleBarrierOption) obj;
return JodaBeanUtils.equal(underlyingOption, other.underlyingOption) &&
JodaBeanUtils.equal(barrier, other.barrier) &&
JodaBeanUtils.equal(rebate, other.rebate);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(underlyingOption);
hash = hash * 31 + JodaBeanUtils.hashCode(barrier);
hash = hash * 31 + JodaBeanUtils.hashCode(rebate);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("FxSingleBarrierOption{");
buf.append("underlyingOption").append('=').append(JodaBeanUtils.toString(underlyingOption)).append(',').append(' ');
buf.append("barrier").append('=').append(JodaBeanUtils.toString(barrier)).append(',').append(' ');
buf.append("rebate").append('=').append(JodaBeanUtils.toString(rebate));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxSingleBarrierOption}.
*/
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 underlyingOption} property.
*/
private final MetaProperty underlyingOption = DirectMetaProperty.ofImmutable(
this, "underlyingOption", FxSingleBarrierOption.class, FxVanillaOption.class);
/**
* The meta-property for the {@code barrier} property.
*/
private final MetaProperty barrier = DirectMetaProperty.ofImmutable(
this, "barrier", FxSingleBarrierOption.class, Barrier.class);
/**
* The meta-property for the {@code rebate} property.
*/
private final MetaProperty rebate = DirectMetaProperty.ofImmutable(
this, "rebate", FxSingleBarrierOption.class, CurrencyAmount.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"underlyingOption",
"barrier",
"rebate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 87556658: // underlyingOption
return underlyingOption;
case -333143113: // barrier
return barrier;
case -934952029: // rebate
return rebate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FxSingleBarrierOption.Builder builder() {
return new FxSingleBarrierOption.Builder();
}
@Override
public Class beanType() {
return FxSingleBarrierOption.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code underlyingOption} property.
* @return the meta-property, not null
*/
public MetaProperty underlyingOption() {
return underlyingOption;
}
/**
* The meta-property for the {@code barrier} property.
* @return the meta-property, not null
*/
public MetaProperty barrier() {
return barrier;
}
/**
* The meta-property for the {@code rebate} property.
* @return the meta-property, not null
*/
public MetaProperty rebate() {
return rebate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 87556658: // underlyingOption
return ((FxSingleBarrierOption) bean).getUnderlyingOption();
case -333143113: // barrier
return ((FxSingleBarrierOption) bean).getBarrier();
case -934952029: // rebate
return ((FxSingleBarrierOption) bean).rebate;
}
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 FxSingleBarrierOption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private FxVanillaOption underlyingOption;
private Barrier barrier;
private CurrencyAmount rebate;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FxSingleBarrierOption beanToCopy) {
this.underlyingOption = beanToCopy.getUnderlyingOption();
this.barrier = beanToCopy.getBarrier();
this.rebate = beanToCopy.rebate;
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 87556658: // underlyingOption
return underlyingOption;
case -333143113: // barrier
return barrier;
case -934952029: // rebate
return rebate;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 87556658: // underlyingOption
this.underlyingOption = (FxVanillaOption) newValue;
break;
case -333143113: // barrier
this.barrier = (Barrier) newValue;
break;
case -934952029: // rebate
this.rebate = (CurrencyAmount) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public FxSingleBarrierOption build() {
return new FxSingleBarrierOption(
underlyingOption,
barrier,
rebate);
}
//-----------------------------------------------------------------------
/**
* Sets the underlying FX vanilla option.
* @param underlyingOption the new value, not null
* @return this, for chaining, not null
*/
public Builder underlyingOption(FxVanillaOption underlyingOption) {
JodaBeanUtils.notNull(underlyingOption, "underlyingOption");
this.underlyingOption = underlyingOption;
return this;
}
/**
* Sets the barrier description.
*
* The barrier level stored in this field must be represented based on the direction of the currency pair in the
* underlying FX transaction.
*
* For example, if the underlying option is an option on EUR/GBP, the barrier should be a certain level of EUR/GBP rate.
* @param barrier the new value, not null
* @return this, for chaining, not null
*/
public Builder barrier(Barrier barrier) {
JodaBeanUtils.notNull(barrier, "barrier");
this.barrier = barrier;
return this;
}
/**
* Sets for a 'out' option, the amount is paid when the barrier is reached;
* for a 'in' option, the amount is paid at expiry if the barrier is not reached.
*
* This is the notional amount represented in one of the currency pair.
* The amount should be positive.
* @param rebate the new value
* @return this, for chaining, not null
*/
public Builder rebate(CurrencyAmount rebate) {
this.rebate = rebate;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("FxSingleBarrierOption.Builder{");
buf.append("underlyingOption").append('=').append(JodaBeanUtils.toString(underlyingOption)).append(',').append(' ');
buf.append("barrier").append('=').append(JodaBeanUtils.toString(barrier)).append(',').append(' ');
buf.append("rebate").append('=').append(JodaBeanUtils.toString(rebate));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}