@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _barrier.hashCode();
long temp;
temp = Double.doubleToLongBits(_rebate);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _underlyingOption.hashCode();
return result;
}
/**
* Computes the price of a barrier option in the Black world.
*
* @param option The underlying European vanilla option.
* @param barrier The barrier.
* @param rebate The rebate. This is paid <b>immediately</b> if the knock-out barrier is hit and
* at expiry if the knock-in barrier is not hit
* @param spot The spot price.
* @param costOfCarry The cost of carry (i.e. the forward = spot*exp(costOfCarry*T) )
* @param rate The interest rate.
* @param sigma The Black volatility.
* @return The price.
*/
public double getPrice(
final EuropeanVanillaOption option,
final Barrier barrier,
final double rebate,
final double spot,
final double costOfCarry,
final double rate,
final double sigma) {
Validate.notNull(option, "option");
Validate.notNull(barrier, "barrier");
final boolean isKnockIn = (barrier.getKnockType() == KnockType.IN);
final boolean isDown = (barrier.getBarrierType() == BarrierType.DOWN);
// in these pathological cases the barrier is hit immediately so the value is just from the
// rebate (knock-out) or a European option (knock-in)
if (isDown && spot <= barrier.getBarrierLevel()
|| !isDown && spot >= barrier.getBarrierLevel()) {
if (isKnockIn) {
return blackPrice(
spot,
option.getStrike(),
option.getTimeToExpiry(),
rate,
costOfCarry,
sigma,
option.isCall());
} else {
return rebate;
}
} else {
if (isKnockIn) {
return inBarrier(
spot,
barrier.getBarrierLevel(),
option.getStrike(),
option.getTimeToExpiry(),
rate,
costOfCarry,
sigma,
option.isCall(),
rebate);
} else {
return outBarrier(
spot,
barrier.getBarrierLevel(),
option.getStrike(),
option.getTimeToExpiry(),
rate,
costOfCarry,
sigma,
option.isCall(),
rebate);
}
}
}
