Class FxSingleBarrierOption

  • All Implemented Interfaces:
    Resolvable<ResolvedFxSingleBarrierOption>, FxOptionProduct, FxProduct, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class FxSingleBarrierOption
    extends Object
    implements FxOptionProduct, Resolvable<ResolvedFxSingleBarrierOption>, org.joda.beans.ImmutableBean, Serializable
    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 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.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static FxSingleBarrierOption of​(FxVanillaOption underlyingOption,
                                               Barrier barrier,
                                               CurrencyAmount rebate)
        Obtains FX single barrier option with rebate.
        underlyingOption - the underlying FX vanilla option
        barrier - the barrier
        rebate - the rebate
        the instance
      • of

        public static FxSingleBarrierOption of​(FxVanillaOption underlyingOption,
                                               Barrier barrier)
        Obtains FX single barrier option without rebate.
        underlyingOption - the underlying FX vanilla option
        barrier - the barrier
        the instance
      • getCurrencyPair

        public CurrencyPair getCurrencyPair()
        Gets currency pair of the base currency and counter currency.

        This currency pair is conventional, thus indifferent to the direction of FX.

        Specified by:
        getCurrencyPair in interface FxProduct
        the currency pair
      • resolve

        public ResolvedFxSingleBarrierOption resolve​(ReferenceData refData)
        Description copied from interface: Resolvable
        Resolves this object using the specified reference data.

        This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

        Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

        Specified by:
        resolve in interface Resolvable<ResolvedFxSingleBarrierOption>
        refData - the reference data to use when resolving
        the resolved instance
      • meta

        public static FxSingleBarrierOption.Meta meta()
        The meta-bean for FxSingleBarrierOption.
        the meta-bean, not null
      • builder

        public static FxSingleBarrierOption.Builder builder()
        Returns a builder used to create an instance of the bean.
        the builder, not null
      • getUnderlyingOption

        public FxVanillaOption getUnderlyingOption()
        Gets the underlying FX vanilla option.
        the value of the property, not null
      • getBarrier

        public Barrier getBarrier()
        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.

        the value of the property, not null
      • getRebate

        public Optional<CurrencyAmount> getRebate()
        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.

        the optional value of the property, not null
      • toBuilder

        public FxSingleBarrierOption.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        the mutable builder, not null
      • hashCode

        public int hashCode()
        hashCode in class Object