| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|
| 2 | |
|---|
| 3 | /* |
|---|
| 4 | Copyright (C) 2013 Peter Caspers |
|---|
| 5 | |
|---|
| 6 | This file is part of QuantLib, a free-software/open-source library |
|---|
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
|---|
| 8 | |
|---|
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
|---|
| 10 | under the terms of the QuantLib license. You should have received a |
|---|
| 11 | copy of the license along with this program; if not, please email |
|---|
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
|---|
| 13 | <http://quantlib.org/license.shtml>. |
|---|
| 14 | |
|---|
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
|---|
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
|---|
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
|---|
| 18 | */ |
|---|
| 19 | |
|---|
| 20 | #include <ql/rebatedexercise.hpp> |
|---|
| 21 | #include <utility> |
|---|
| 22 | |
|---|
| 23 | namespace QuantLib { |
|---|
| 24 | |
|---|
| 25 | RebatedExercise::RebatedExercise(const Exercise& exercise, |
|---|
| 26 | const Real rebate, |
|---|
| 27 | const Natural rebateSettlementDays, |
|---|
| 28 | Calendar rebatePaymentCalendar, |
|---|
| 29 | const BusinessDayConvention rebatePaymentConvention) |
|---|
| 30 | : Exercise(exercise), rebates_(std::vector<Real>(dates().size(), rebate)), |
|---|
| 31 | rebateSettlementDays_(rebateSettlementDays), |
|---|
| 32 | rebatePaymentCalendar_(std::move(rebatePaymentCalendar)), |
|---|
| 33 | rebatePaymentConvention_(rebatePaymentConvention) {} |
|---|
| 34 | |
|---|
| 35 | RebatedExercise::RebatedExercise(const Exercise& exercise, |
|---|
| 36 | const std::vector<Real>& rebates, |
|---|
| 37 | const Natural rebateSettlementDays, |
|---|
| 38 | Calendar rebatePaymentCalendar, |
|---|
| 39 | const BusinessDayConvention rebatePaymentConvention) |
|---|
| 40 | : Exercise(exercise), rebates_(rebates), rebateSettlementDays_(rebateSettlementDays), |
|---|
| 41 | rebatePaymentCalendar_(std::move(rebatePaymentCalendar)), |
|---|
| 42 | rebatePaymentConvention_(rebatePaymentConvention) { |
|---|
| 43 | |
|---|
| 44 | QL_REQUIRE( |
|---|
| 45 | type_ == Bermudan, |
|---|
| 46 | "a rebate vector is allowed only for a bermudan style exercise" ); |
|---|
| 47 | |
|---|
| 48 | QL_REQUIRE(rebates.size() == dates().size(), |
|---|
| 49 | "the number of rebates (" |
|---|
| 50 | << rebates.size() |
|---|
| 51 | << ") must be equal to the number of exercise dates (" |
|---|
| 52 | << dates().size()); |
|---|
| 53 | } |
|---|
| 54 | } |
|---|
| 55 | |
|---|
