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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2003 Ferdinando Ametrano
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/exercise.hpp>
#include <ql/errors.hpp>
#include <algorithm>
namespace QuantLib {
Date Exercise::lastDate() const {
QL_REQUIRE(!dates_.empty(), "no exercise date given");
return dates_.back();
}
AmericanExercise::AmericanExercise(const Date& earliest,
const Date& latest,
bool payoffAtExpiry)
: EarlyExercise(American, payoffAtExpiry) {
QL_REQUIRE(earliest<=latest,
"earliest > latest exercise date");
dates_ = std::vector<Date>(2);
dates_[0] = earliest;
dates_[1] = latest;
}
AmericanExercise::AmericanExercise(const Date& latest,
bool payoffAtExpiry)
: EarlyExercise(American, payoffAtExpiry) {
dates_ = std::vector<Date>(2);
dates_[0] = Date::minDate();
dates_[1] = latest;
}
BermudanExercise::BermudanExercise(const std::vector<Date>& dates,
bool payoffAtExpiry)
: EarlyExercise(Bermudan, payoffAtExpiry) {
QL_REQUIRE(!dates.empty(), "no exercise date given");
dates_ = dates;
std::sort(dates_.begin(), dates_.end());
}
EuropeanExercise::EuropeanExercise(const Date& date)
: Exercise(European) {
dates_ = std::vector<Date>(1,date);
}
}
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