com.opengamma.strata.product.fxopt

Class FxSingleBarrierOption

java.lang.Object

com.opengamma.strata.product.fxopt.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

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	FxSingleBarrierOption.Builder The bean-builder for FxSingleBarrierOption.
static class	FxSingleBarrierOption.Meta The meta-bean for FxSingleBarrierOption.

Method Summary

Modifier and Type	Method and Description
static FxSingleBarrierOption.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
Barrier	getBarrier() Gets the barrier description.
CurrencyPair	getCurrencyPair() Gets currency pair of the base currency and counter currency.
ZonedDateTime	getExpiry() Gets the underlying Fx vanilla option's expiry.
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.
FxVanillaOption	getUnderlyingOption() Gets the underlying FX vanilla option.
int	hashCode()
static FxSingleBarrierOption.Meta	meta() The meta-bean for FxSingleBarrierOption.
FxSingleBarrierOption.Meta	metaBean()
static FxSingleBarrierOption	of(FxVanillaOption underlyingOption, Barrier barrier) Obtains FX single barrier option without rebate.
static FxSingleBarrierOption	of(FxVanillaOption underlyingOption, Barrier barrier, CurrencyAmount rebate) Obtains FX single barrier option with rebate.
ResolvedFxSingleBarrierOption	resolve(ReferenceData refData)
FxSingleBarrierOption.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.product.fx.FxProduct

allCurrencies, isCrossCurrency

Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static FxSingleBarrierOption of(FxVanillaOption 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 FxSingleBarrierOption of(FxVanillaOption 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.

Specified by:

getCurrencyPair in interface FxProduct

Returns:

the currency pair

getExpiry

public ZonedDateTime getExpiry()

Gets the underlying Fx vanilla option's expiry.

Specified by:

getExpiry in interface FxOptionProduct

Returns:

the expiry

resolve

public ResolvedFxSingleBarrierOption resolve(ReferenceData refData)

Specified by:

resolve in interface Resolvable<ResolvedFxSingleBarrierOption>

meta

public static FxSingleBarrierOption.Meta meta()

The meta-bean for FxSingleBarrierOption.

Returns:

the meta-bean, not null

builder

public static FxSingleBarrierOption.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public FxSingleBarrierOption.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getUnderlyingOption

public FxVanillaOption 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

toBuilder

public FxSingleBarrierOption.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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