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