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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file exercisetype.hpp
\brief Exercise type class (European, Bermudan or American)
\fullpath
ql/%exercisetype.hpp
*/
// $Id: exercise.hpp,v 1.11 2002/03/05 01:10:36 sadrejeb Exp $
#ifndef quantlib_exercise_type_h
#define quantlib_exercise_type_h
#include <ql/calendar.hpp>
#include <ql/date.hpp>
#include <ql/Calendars/target.hpp>
#include <vector>
namespace QuantLib {
//! Exercise class (American, Bermudan or European)
class Exercise {
public:
enum Type { American, Bermudan, European };
Exercise(Type type, const std::vector<Date>& dates)
: type_(type), dates_(dates), calendar_(Calendars::TARGET()),
convention_(ModifiedFollowing), settlementDays_(0) {}
Type type() const { return type_; }
Date date(Size index = 0) const { return dates_[index]; }
const std::vector<Date>& dates() const { return dates_; }
RollingConvention rollingConvention() const { return convention_; }
Calendar calendar() const { return calendar_; }
int settlementDays() const { return settlementDays_; }
protected:
Type type_;
std::vector<Date> dates_;
Calendar calendar_;
RollingConvention convention_;
int settlementDays_;
};
class AmericanExercise : public Exercise {
public:
AmericanExercise(Date earliestDate, Date latestDate)
: Exercise(American, std::vector<Date>(2)) {
dates_[0] = earliestDate;
dates_[1] = latestDate;
}
};
class BermudanExercise : public Exercise {
public:
BermudanExercise(const std::vector<Date>& dates)
: Exercise(Bermudan, dates) {}
};
class EuropeanExercise : public Exercise {
public:
EuropeanExercise(Date date)
: Exercise(European, std::vector<Date>(1,date)) {}
};
}
#endif
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