com.opengamma.strata.product.fxopt

Class ResolvedFxSingleBarrierOption

java.lang.Object

com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption

All Implemented Interfaces:

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

public final class ResolvedFxSingleBarrierOption
extends Object
implements ResolvedProduct, org.joda.beans.ImmutableBean, Serializable

Resolved 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

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
Barrier	getBarrier() Gets the barrier description.
CurrencyPair	getCurrencyPair() Gets currency pair of the base currency and counter currency.
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.
ResolvedFxVanillaOption	getUnderlyingOption() Gets the underlying FX vanilla option.
int	hashCode()
static ResolvedFxSingleBarrierOption.Meta	meta() The meta-bean for ResolvedFxSingleBarrierOption.
ResolvedFxSingleBarrierOption.Meta	metaBean()
static ResolvedFxSingleBarrierOption	of(ResolvedFxVanillaOption underlyingOption, Barrier barrier) Obtains FX single barrier option without rebate.
static ResolvedFxSingleBarrierOption	of(ResolvedFxVanillaOption underlyingOption, Barrier barrier, CurrencyAmount rebate) Obtains FX single barrier option with rebate.
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

Method Detail

of

public static ResolvedFxSingleBarrierOption of(ResolvedFxVanillaOption underlyingOption,
                                               Barrier barrier,
                                               CurrencyAmount rebate)

Obtains FX single barrier option with rebate.

Parameters:

underlyingOption - the underlying FX vanilla option

barrier - the barrier

rebate - the rebate

Returns:

the instance

of

public static ResolvedFxSingleBarrierOption of(ResolvedFxVanillaOption underlyingOption,
                                               Barrier barrier)

Obtains FX single barrier option without rebate.

Parameters:

underlyingOption - the underlying FX vanilla option

barrier - the barrier

Returns:

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.

Returns:

the currency pair

meta

public static ResolvedFxSingleBarrierOption.Meta meta()

The meta-bean for ResolvedFxSingleBarrierOption.

Returns:

the meta-bean, not null

metaBean

public ResolvedFxSingleBarrierOption.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getUnderlyingOption

public ResolvedFxVanillaOption getUnderlyingOption()

Gets the underlying FX vanilla option.

Returns:

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.

Returns:

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.

Returns:

the optional value of the property, not null

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