Examples of CappedPowerOptionDefinition

com.opengamma.analytics.financial.model.option.definition.CappedPowerOptionDefinition
A capped power option is a power option with a cap on the maximum payoff.
The exercise style is European. The payoff of these options is: $$ \begin{align*} c &= \min(\max(S^i - K, 0), C) \\ p &= \min(\max(K - S^i, 0), C) \end{align*} $$ where $K$ is the strike, $i$ is the power ($i > 0$), $C$ is the cap ($C > 0$) and $S$ is the spot.

Examples of com.opengamma.analytics.financial.model.option.definition.CappedPowerOptionDefinition

  private double getUncappedPrice(final double power, final boolean isCall) {
    return UNCAPPED_MODEL.getGreeks(getDefinition(power, isCall), BUNDLE, REQUIRED_GREEKS).get(Greek.FAIR_PRICE);
  }


  private CappedPowerOptionDefinition getDefinition(final double power, final double cap, final boolean isCall) {
    return new CappedPowerOptionDefinition(STRIKE, EXPIRY, power, cap, isCall);
  }

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