/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity;
import com.opengamma.analytics.financial.ExerciseDecisionType;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.equity.option.EquityOption;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.model.finitedifference.applications.BlackScholesMertonPDEPricer;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the present value of equity options using the Black method.
*/
public final class EqyOptPDEPresentValueCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, Double> {
/** A static instance */
private static final EqyOptPDEPresentValueCalculator INSTANCE = new EqyOptPDEPresentValueCalculator();
/** The present value calculator */
private static final BlackScholesMertonPDEPricer MODEL = new BlackScholesMertonPDEPricer();
/**
* Gets the static instance
* @return The static instance
*/
public static EqyOptPDEPresentValueCalculator getInstance() {
return INSTANCE;
}
private EqyOptPDEPresentValueCalculator() {
}
@Override
public Double visitEquityIndexOption(final EquityIndexOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double spot = data.getForwardCurve().getSpot();
final double strike = option.getStrike();
final double time = option.getTimeToExpiry();
final double sigma = data.getVolatilitySurface().getVolatility(time, strike);
final boolean isCall = option.isCall();
final boolean isAmerican;
final ExerciseDecisionType exercise = option.getExerciseType();
if (exercise == ExerciseDecisionType.AMERICAN) {
isAmerican = true;
} else if (exercise == ExerciseDecisionType.EUROPEAN) {
isAmerican = false;
} else {
throw new IllegalArgumentException("Can only price American or European expiry options");
}
final double interestRate = data.getDiscountCurve().getInterestRate(time);
final double costOfCarry = interestRate; //TODO
return option.getUnitAmount() * MODEL.price(spot, strike, interestRate, costOfCarry, time, sigma, isCall, isAmerican, 10, 500);
}
@Override
public Double visitEquityOption(final EquityOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double spot = data.getForwardCurve().getSpot();
final double strike = option.getStrike();
final double time = option.getTimeToExpiry();
final double sigma = data.getVolatilitySurface().getVolatility(time, strike);
final boolean isCall = option.isCall();
final boolean isAmerican;
final ExerciseDecisionType exercise = option.getExerciseType();
if (exercise == ExerciseDecisionType.AMERICAN) {
isAmerican = true;
} else if (exercise == ExerciseDecisionType.EUROPEAN) {
isAmerican = false;
} else {
throw new IllegalArgumentException("Can only price American or European expiry options");
}
final double interestRate = data.getDiscountCurve().getInterestRate(time);
final double costOfCarry = interestRate; //TODO
return option.getUnitAmount() * MODEL.price(spot, strike, interestRate, costOfCarry, time, sigma, isCall, isAmerican, 10, 500);
}
@Override
public Double visitEquityIndexFutureOption(final EquityIndexFutureOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double spot = data.getForwardCurve().getSpot();
final double strike = option.getStrike();
final double time = option.getExpiry();
final double sigma = data.getVolatilitySurface().getVolatility(time, strike);
final boolean isCall = option.isCall();
final boolean isAmerican;
final ExerciseDecisionType exercise = option.getExerciseType();
if (exercise == ExerciseDecisionType.AMERICAN) {
isAmerican = true;
} else if (exercise == ExerciseDecisionType.EUROPEAN) {
isAmerican = false;
} else {
throw new IllegalArgumentException("Can only price American or European expiry options");
}
final double interestRate = data.getDiscountCurve().getInterestRate(time);
final double costOfCarry = interestRate; //TODO
return option.getPointValue() * MODEL.price(spot, strike, interestRate, costOfCarry, time, sigma, isCall, isAmerican, 10, 500);
}
}