// ForexVanillaOption's are defined in terms of the underlying forward FX transaction, the exchange of two fixed amounts in different currencies.
// The relative size of the payments implicitly defines the option's strike. So we will build a number of ForexDefinition's below
final PaymentFixedDefinition quoteCcyPayment = new PaymentFixedDefinition(quoteCcy, settlement, -1 * quoteAmt);
final PaymentFixedDefinition baseCcyPayment = new PaymentFixedDefinition(baseCcy, settlement, baseAmt);
final ForexDefinition fxFwd = new ForexDefinition(baseCcyPayment, quoteCcyPayment); // This is what defines the strike, K = quoteAmt / baseAmt
// We restrike an option by changing the underlying Forex, adjusting the Payments to match the formulae: k = A2/A1, N = A1.
final ForexDefinition fxFwdForBarrier = new ForexDefinition(baseCcyPayment, new PaymentFixedDefinition(quoteCcy, settlement, -1 * barrier * baseAmt));
// For the binaries, we do this by adjusting A1' = size * A1; A2' = A1' * newStrike as A1 is the Notional in this interpretation
final double baseAmtForSpread = size * baseAmt;
final PaymentFixedDefinition baseCcyPmtForSpread = new PaymentFixedDefinition(baseCcy, settlement, baseAmtForSpread);
final ForexDefinition fxFwdForNearStrike = new ForexDefinition(baseCcyPmtForSpread, new PaymentFixedDefinition(quoteCcy, settlement, -1 * nearStrike * baseAmtForSpread));
final ForexDefinition fxFwdForFarStrike = new ForexDefinition(baseCcyPmtForSpread, new PaymentFixedDefinition(quoteCcy, settlement, -1 * farStrike * baseAmtForSpread));
// Switch on type
switch (bInOut) {
case KNOCK_OUT: // Long a linear at strike, short a linear at barrier, short a binary at barrier of size (barrier-strike)