com.opengamma.strata.product.fxopt.FxVanillaOption Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fxopt;
import static com.opengamma.strata.collect.ArgChecker.inOrderOrEqual;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.util.Map;
import java.util.NoSuchElementException;
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.common.LongShort;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.fx.FxOptionProduct;
import com.opengamma.strata.product.fx.FxSingle;
/**
* A vanilla FX option.
*
* An FX option is a financial instrument that provides an option based on the future value of a foreign exchange. The
* option is European, exercised only on the exercise date.
*
* For example, a call on a 'EUR 1.00 / USD -1.41' exchange is the option to perform a foreign exchange on the expiry
* date, where USD 1.41 is paid to receive EUR 1.00.
*/
@BeanDefinition
public final class FxVanillaOption
implements FxOptionProduct, Resolvable, ImmutableBean, Serializable {
/**
* Whether the option is long or short.
*
* At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of
* the long party, potentially enter into the inverse transaction.
*/
@PropertyDefinition(validate = "notNull")
private final LongShort longShort;
/**
* The expiry date of the option.
*
* The option is European, and can only be exercised on the expiry date.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate expiryDate;
/**
* The expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
*/
@PropertyDefinition(validate = "notNull")
private final LocalTime expiryTime;
/**
* The time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
*/
@PropertyDefinition(validate = "notNull")
private final ZoneId expiryZone;
/**
* The underlying foreign exchange transaction.
*
* At expiry, if the option is in the money, this foreign exchange will occur.
*/
@PropertyDefinition(validate = "notNull")
private final FxSingle underlying;
/**
* Creates an equivalent {@code FxVanillaOption} using currency pair, option expiry, call/put flag, strike, base
* currency notional, and underlying payment date.
*
* @param longShort the long/short flag of the option
* @param expiry the option expiry
* @param currencyPair the FX currency pair
* @param putCall the put/call flag of the option
* @param strike the FX strike
* @param baseNotional the base currency notional amount: should always be positive
* @param paymentDate the payment date of the underlying FX cash flows
* @return an equivalent fx vanilla option
*/
public static FxVanillaOption of(
LongShort longShort,
ZonedDateTime expiry,
CurrencyPair currencyPair,
PutCall putCall,
double strike,
double baseNotional,
LocalDate paymentDate) {
ArgChecker.isTrue(baseNotional > 0, "Base notional must be positive");
ArgChecker.isTrue(strike > 0, "FX strike must be positive");
// for a vanilla call, will be long the base currency and short the counter currency
// for a vanilla put, will be short the base currency and long the counter currency
double baseAmount = putCall.isCall() ? baseNotional : -baseNotional;
double counterNotional = strike * baseNotional;
double counterAmount = putCall.isCall() ? -counterNotional : counterNotional;
FxSingle equivalentUnderlying = FxSingle.of(
CurrencyAmount.of(currencyPair.getBase(), baseAmount),
CurrencyAmount.of(currencyPair.getCounter(), counterAmount),
paymentDate);
return FxVanillaOption.builder()
.longShort(longShort)
.expiryDate(expiry.toLocalDate())
.expiryTime(expiry.toLocalTime())
.expiryZone(expiry.getZone())
.underlying(equivalentUnderlying)
.build();
}
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
inOrderOrEqual(expiryDate, underlying.getPaymentDate(), "expiryDate", "underlying.paymentDate");
}
//-------------------------------------------------------------------------
/**
* 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 underlying.getCurrencyPair();
}
/**
* Gets the expiry date-time.
*
* The option expires at this date and time.
*
* The result is returned by combining the expiry date, time and time-zone.
*
* @return the expiry date and time
*/
@Override
public ZonedDateTime getExpiry() {
return expiryDate.atTime(expiryTime).atZone(expiryZone);
}
//-------------------------------------------------------------------------
@Override
public ResolvedFxVanillaOption resolve(ReferenceData refData) {
return ResolvedFxVanillaOption.builder()
.longShort(longShort)
.expiry(getExpiry())
.underlying(underlying.resolve(refData))
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FxVanillaOption}.
* @return the meta-bean, not null
*/
public static FxVanillaOption.Meta meta() {
return FxVanillaOption.Meta.INSTANCE;
}
static {
MetaBean.register(FxVanillaOption.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 FxVanillaOption.Builder builder() {
return new FxVanillaOption.Builder();
}
private FxVanillaOption(
LongShort longShort,
LocalDate expiryDate,
LocalTime expiryTime,
ZoneId expiryZone,
FxSingle underlying) {
JodaBeanUtils.notNull(longShort, "longShort");
JodaBeanUtils.notNull(expiryDate, "expiryDate");
JodaBeanUtils.notNull(expiryTime, "expiryTime");
JodaBeanUtils.notNull(expiryZone, "expiryZone");
JodaBeanUtils.notNull(underlying, "underlying");
this.longShort = longShort;
this.expiryDate = expiryDate;
this.expiryTime = expiryTime;
this.expiryZone = expiryZone;
this.underlying = underlying;
validate();
}
@Override
public FxVanillaOption.Meta metaBean() {
return FxVanillaOption.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the option is long or short.
*
* At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of
* the long party, potentially enter into the inverse transaction.
* @return the value of the property, not null
*/
public LongShort getLongShort() {
return longShort;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry date of the option.
*
* The option is European, and can only be exercised on the expiry date.
* @return the value of the property, not null
*/
public LocalDate getExpiryDate() {
return expiryDate;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
* @return the value of the property, not null
*/
public LocalTime getExpiryTime() {
return expiryTime;
}
//-----------------------------------------------------------------------
/**
* Gets the time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
* @return the value of the property, not null
*/
public ZoneId getExpiryZone() {
return expiryZone;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying foreign exchange transaction.
*
* At expiry, if the option is in the money, this foreign exchange will occur.
* @return the value of the property, not null
*/
public FxSingle getUnderlying() {
return underlying;
}
//-----------------------------------------------------------------------
/**
* 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()) {
FxVanillaOption other = (FxVanillaOption) obj;
return JodaBeanUtils.equal(longShort, other.longShort) &&
JodaBeanUtils.equal(expiryDate, other.expiryDate) &&
JodaBeanUtils.equal(expiryTime, other.expiryTime) &&
JodaBeanUtils.equal(expiryZone, other.expiryZone) &&
JodaBeanUtils.equal(underlying, other.underlying);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(longShort);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryDate);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryTime);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryZone);
hash = hash * 31 + JodaBeanUtils.hashCode(underlying);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxVanillaOption{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("expiryDate").append('=').append(JodaBeanUtils.toString(expiryDate)).append(',').append(' ');
buf.append("expiryTime").append('=').append(JodaBeanUtils.toString(expiryTime)).append(',').append(' ');
buf.append("expiryZone").append('=').append(JodaBeanUtils.toString(expiryZone)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FxVanillaOption}.
*/
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 longShort} property.
*/
private final MetaProperty longShort = DirectMetaProperty.ofImmutable(
this, "longShort", FxVanillaOption.class, LongShort.class);
/**
* The meta-property for the {@code expiryDate} property.
*/
private final MetaProperty expiryDate = DirectMetaProperty.ofImmutable(
this, "expiryDate", FxVanillaOption.class, LocalDate.class);
/**
* The meta-property for the {@code expiryTime} property.
*/
private final MetaProperty expiryTime = DirectMetaProperty.ofImmutable(
this, "expiryTime", FxVanillaOption.class, LocalTime.class);
/**
* The meta-property for the {@code expiryZone} property.
*/
private final MetaProperty expiryZone = DirectMetaProperty.ofImmutable(
this, "expiryZone", FxVanillaOption.class, ZoneId.class);
/**
* The meta-property for the {@code underlying} property.
*/
private final MetaProperty underlying = DirectMetaProperty.ofImmutable(
this, "underlying", FxVanillaOption.class, FxSingle.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"longShort",
"expiryDate",
"expiryTime",
"expiryZone",
"underlying");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1770633379: // underlying
return underlying;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FxVanillaOption.Builder builder() {
return new FxVanillaOption.Builder();
}
@Override
public Class beanType() {
return FxVanillaOption.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code longShort} property.
* @return the meta-property, not null
*/
public MetaProperty longShort() {
return longShort;
}
/**
* The meta-property for the {@code expiryDate} property.
* @return the meta-property, not null
*/
public MetaProperty expiryDate() {
return expiryDate;
}
/**
* The meta-property for the {@code expiryTime} property.
* @return the meta-property, not null
*/
public MetaProperty expiryTime() {
return expiryTime;
}
/**
* The meta-property for the {@code expiryZone} property.
* @return the meta-property, not null
*/
public MetaProperty expiryZone() {
return expiryZone;
}
/**
* The meta-property for the {@code underlying} property.
* @return the meta-property, not null
*/
public MetaProperty underlying() {
return underlying;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return ((FxVanillaOption) bean).getLongShort();
case -816738431: // expiryDate
return ((FxVanillaOption) bean).getExpiryDate();
case -816254304: // expiryTime
return ((FxVanillaOption) bean).getExpiryTime();
case -816069761: // expiryZone
return ((FxVanillaOption) bean).getExpiryZone();
case -1770633379: // underlying
return ((FxVanillaOption) bean).getUnderlying();
}
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 FxVanillaOption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private LongShort longShort;
private LocalDate expiryDate;
private LocalTime expiryTime;
private ZoneId expiryZone;
private FxSingle underlying;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FxVanillaOption beanToCopy) {
this.longShort = beanToCopy.getLongShort();
this.expiryDate = beanToCopy.getExpiryDate();
this.expiryTime = beanToCopy.getExpiryTime();
this.expiryZone = beanToCopy.getExpiryZone();
this.underlying = beanToCopy.getUnderlying();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1770633379: // underlying
return underlying;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
this.longShort = (LongShort) newValue;
break;
case -816738431: // expiryDate
this.expiryDate = (LocalDate) newValue;
break;
case -816254304: // expiryTime
this.expiryTime = (LocalTime) newValue;
break;
case -816069761: // expiryZone
this.expiryZone = (ZoneId) newValue;
break;
case -1770633379: // underlying
this.underlying = (FxSingle) 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 FxVanillaOption build() {
return new FxVanillaOption(
longShort,
expiryDate,
expiryTime,
expiryZone,
underlying);
}
//-----------------------------------------------------------------------
/**
* Sets whether the option is long or short.
*
* At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of
* the long party, potentially enter into the inverse transaction.
* @param longShort the new value, not null
* @return this, for chaining, not null
*/
public Builder longShort(LongShort longShort) {
JodaBeanUtils.notNull(longShort, "longShort");
this.longShort = longShort;
return this;
}
/**
* Sets the expiry date of the option.
*
* The option is European, and can only be exercised on the expiry date.
* @param expiryDate the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryDate(LocalDate expiryDate) {
JodaBeanUtils.notNull(expiryDate, "expiryDate");
this.expiryDate = expiryDate;
return this;
}
/**
* Sets the expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
* @param expiryTime the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryTime(LocalTime expiryTime) {
JodaBeanUtils.notNull(expiryTime, "expiryTime");
this.expiryTime = expiryTime;
return this;
}
/**
* Sets the time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
* @param expiryZone the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryZone(ZoneId expiryZone) {
JodaBeanUtils.notNull(expiryZone, "expiryZone");
this.expiryZone = expiryZone;
return this;
}
/**
* Sets the underlying foreign exchange transaction.
*
* At expiry, if the option is in the money, this foreign exchange will occur.
* @param underlying the new value, not null
* @return this, for chaining, not null
*/
public Builder underlying(FxSingle underlying) {
JodaBeanUtils.notNull(underlying, "underlying");
this.underlying = underlying;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("FxVanillaOption.Builder{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("expiryDate").append('=').append(JodaBeanUtils.toString(expiryDate)).append(',').append(' ');
buf.append("expiryTime").append('=').append(JodaBeanUtils.toString(expiryTime)).append(',').append(' ');
buf.append("expiryZone").append('=').append(JodaBeanUtils.toString(expiryZone)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}