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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/rebatedexercise.hpp>
namespace QuantLib {
RebatedExercise::RebatedExercise(
const Exercise &exercise, const Real rebate,
const Natural rebateSettlementDays,
const Calendar &rebatePaymentCalendar,
const BusinessDayConvention rebatePaymentConvention)
: Exercise(exercise),
rebates_(std::vector<Real>(dates().size(), rebate)),
rebateSettlementDays_(rebateSettlementDays),
rebatePaymentCalendar_(rebatePaymentCalendar),
rebatePaymentConvention_(rebatePaymentConvention) {}
RebatedExercise::RebatedExercise(
const Exercise &exercise, const std::vector<Real> &rebates,
const Natural rebateSettlementDays,
const Calendar &rebatePaymentCalendar,
const BusinessDayConvention rebatePaymentConvention)
: Exercise(exercise), rebates_(rebates),
rebateSettlementDays_(rebateSettlementDays),
rebatePaymentCalendar_(rebatePaymentCalendar),
rebatePaymentConvention_(rebatePaymentConvention) {
QL_REQUIRE(
type_ == Bermudan,
"a rebate vector is allowed only for a bermudan style exercise");
QL_REQUIRE(rebates.size() == dates().size(),
"the number of rebates ("
<< rebates.size()
<< ") must be equal to the number of exercise dates ("
<< dates().size());
}
}
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