Package com.opengamma.strata.pricer.impl.tree

Class EuropeanVanillaOptionFunction

java.lang.Object

com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction

All Implemented Interfaces:

OptionFunction, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class EuropeanVanillaOptionFunction
extends Object
implements OptionFunction, org.joda.beans.ImmutableBean, Serializable

European vanilla option function.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	EuropeanVanillaOptionFunction.Meta	The meta-bean for EuropeanVanillaOptionFunction.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
int	getNumberOfSteps()	Gets the number of time steps.
DoubleArray	getPayoffAtExpiryTrinomial(DoubleArray stateValue)	Computes payoff at expiry for trinomial tree.
double	getSign()	Gets the sign.
double	getStrike()	Gets the strike value.
double	getTimeToExpiry()	Gets the time to expiry.
int	hashCode()
static EuropeanVanillaOptionFunction.Meta	meta()	The meta-bean for EuropeanVanillaOptionFunction.
EuropeanVanillaOptionFunction.Meta	metaBean()
static EuropeanVanillaOptionFunction	of(double strike, double timeToExpiry, PutCall putCall, int numberOfSteps)	Obtains an instance.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.pricer.impl.tree.OptionFunction

getNextOptionValues, getNextOptionValues, getPayoffAtExpiryTrinomial

Method Detail

of

public static EuropeanVanillaOptionFunction of(double strike,
                                               double timeToExpiry,
                                               PutCall putCall,
                                               int numberOfSteps)

Obtains an instance.

Parameters:

strike - the strike

timeToExpiry - the time to expiry

putCall - put or call

numberOfSteps - the number of time steps

Returns:

the instance

getPayoffAtExpiryTrinomial

public DoubleArray getPayoffAtExpiryTrinomial(DoubleArray stateValue)

Description copied from interface: OptionFunction

Computes payoff at expiry for trinomial tree.

The payoff values for individual nodes at expiry are computed from state values at the final layer. For example, the state values represent underlying prices of an option at respective nodes.

Specified by:

getPayoffAtExpiryTrinomial in interface OptionFunction

Parameters:

stateValue - the state values

Returns:

the payoff at expiry

meta

public static EuropeanVanillaOptionFunction.Meta meta()

The meta-bean for EuropeanVanillaOptionFunction.

Returns:

the meta-bean, not null

metaBean

public EuropeanVanillaOptionFunction.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStrike

public double getStrike()

Gets the strike value.

Returns:

the value of the property

getTimeToExpiry

public double getTimeToExpiry()

Gets the time to expiry.

Specified by:

getTimeToExpiry in interface OptionFunction

Returns:

the value of the property

getSign

public double getSign()

Gets the sign.

The sign is +1 for call and -1 for put.

Returns:

the value of the property

getNumberOfSteps

public int getNumberOfSteps()

Gets the number of time steps.

Specified by:

getNumberOfSteps in interface OptionFunction

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object