RebatedExercise Class Reference

Rebated exercise with exercise dates != notification dates and arbitrary period. More...

#include <qle/instruments/rebatedexercise.hpp>

Inheritance diagram for RebatedExercise:

Collaboration diagram for RebatedExercise:

Public Member Functions
	RebatedExercise (const Exercise &exercise, const Real rebate=0.0, const Natural rebateSettlementDays=0, const Calendar &rebatePaymentCalendar=NullCalendar(), const BusinessDayConvention rebatePaymentConvention=Following)
	as ql ctor More...
	RebatedExercise (const Exercise &exercise, const Real rebate, const Period &rebateSettlementPeriod, const Calendar &rebatePaymentCalendar, const BusinessDayConvention rebatePaymentConvention)
	same, but takes settl period instead of days More...
	RebatedExercise (const Exercise &exercise, const std::vector< Real > &rebates, const Natural rebateSettlementDays=0, const Calendar &rebatePaymentCalendar=NullCalendar(), const BusinessDayConvention rebatePaymentConvention=Following)
	as ql ctor More...
	RebatedExercise (const Exercise &exercise, const std::vector< Real > &rebates, const Period &rebateSettlementPeriod, const Calendar &rebatePaymentCalendar, const BusinessDayConvention rebatePaymentConvention)
	same, but takes settl period instead of days More...
	RebatedExercise (const Exercise &exercise, const std::vector< Date > &exerciseDates, const std::vector< Real > &rebates, const Period &rebateSettlementPeriod, const Calendar &rebatePaymentCalendar=NullCalendar(), const BusinessDayConvention rebatePaymentConvention=Following)
	ctor that takes exercise dates != notification dates and a rebate settlement period More...
Real	rebate (Size index) const
Date	rebatePaymentDate (Size index) const
Date	rebatePaymentDate (const Date &exerciseDate) const
const std::vector< Real > &	rebates () const

Private Attributes
std::vector< Date >	exerciseDates_
std::vector< Real >	rebates_
Period	rebateSettlementPeriod_
Calendar	rebatePaymentCalendar_
BusinessDayConvention	rebatePaymentConvention_

Detailed Description

Rebated exercise with exercise dates != notification dates and arbitrary period.

Definition at line 36 of file rebatedexercise.hpp.

Constructor & Destructor Documentation

RebatedExercise() [1/5]

RebatedExercise	(	const Exercise &	exercise,
		const Real	rebate = 0.0,
		const Natural	rebateSettlementDays = 0,
		const Calendar &	rebatePaymentCalendar = NullCalendar(),
		const BusinessDayConvention	rebatePaymentConvention = Following
	)

as ql ctor

Definition at line 23 of file rebatedexercise.cpp.

    : RebatedExercise(exercise, exercise.dates(), std::vector<Real>(exercise.dates().size(), rebate),
                      rebateSettlementDays * Days, rebatePaymentCalendar, rebatePaymentConvention) {}

RebatedExercise() [2/5]

RebatedExercise	(	const Exercise &	exercise,
		const Real	rebate,
		const Period &	rebateSettlementPeriod,
		const Calendar &	rebatePaymentCalendar,
		const BusinessDayConvention	rebatePaymentConvention
	)

same, but takes settl period instead of days

Definition at line 29 of file rebatedexercise.cpp.

    : RebatedExercise(exercise, exercise.dates(), std::vector<Real>(exercise.dates().size(), rebate),
                      rebateSettlementPeriod, rebatePaymentCalendar, rebatePaymentConvention) {}

RebatedExercise() [3/5]

RebatedExercise	(	const Exercise &	exercise,
		const std::vector< Real > &	rebates,
		const Natural	rebateSettlementDays = 0,
		const Calendar &	rebatePaymentCalendar = NullCalendar(),
		const BusinessDayConvention	rebatePaymentConvention = Following
	)

as ql ctor

Definition at line 35 of file rebatedexercise.cpp.

    : RebatedExercise(exercise, exercise.dates(), rebates, rebateSettlementDays * Days, rebatePaymentCalendar,
                      rebatePaymentConvention) {}

RebatedExercise() [4/5]

RebatedExercise	(	const Exercise &	exercise,
		const std::vector< Real > &	rebates,
		const Period &	rebateSettlementPeriod,
		const Calendar &	rebatePaymentCalendar,
		const BusinessDayConvention	rebatePaymentConvention
	)

same, but takes settl period instead of days

Definition at line 41 of file rebatedexercise.cpp.

    : RebatedExercise(exercise, exercise.dates(), rebates, rebateSettlementPeriod, rebatePaymentCalendar,
                      rebatePaymentConvention) {}

RebatedExercise() [5/5]

RebatedExercise	(	const Exercise &	exercise,
		const std::vector< Date > &	exerciseDates,
		const std::vector< Real > &	rebates,
		const Period &	rebateSettlementPeriod,
		const Calendar &	rebatePaymentCalendar = NullCalendar(),
		const BusinessDayConvention	rebatePaymentConvention = Following
	)

ctor that takes exercise dates != notification dates and a rebate settlement period

Definition at line 47 of file rebatedexercise.cpp.

    : Exercise(exercise), exerciseDates_(exerciseDates), rebates_(rebates),
      rebateSettlementPeriod_(rebateSettlementPeriod), rebatePaymentCalendar_(rebatePaymentCalendar),
      rebatePaymentConvention_(rebatePaymentConvention) {
    QL_REQUIRE(exerciseDates_.empty() || exerciseDates_.size() == dates().size(),
               "then number of notification dates ("
                   << dates().size() << ") must be equal to the number of exercise dates (" << exerciseDates_.size()
                   << ")");
    QL_REQUIRE(rebates_.size() == dates().size(),
               "the number of rebates (" << rebates_.size() << ") must be equal to the number of exercise dates ("
                                         << dates().size());
}

Member Function Documentation

rebate()

Real rebate

(

Size

index

)

const

Definition at line 69 of file rebatedexercise.hpp.

                                                    {
    QL_REQUIRE(index < rebates_.size(),
               "rebate with index " << index << " does not exist (0..." << (rebates_.size() - 1) << ")");
    return rebates_[index];
}

rebatePaymentDate() [1/2]

Date rebatePaymentDate

(

Size

index

)

const

Definition at line 75 of file rebatedexercise.hpp.

                                                               {
    QL_REQUIRE(type_ == European || type_ == Bermudan, "for american style exercises the rebate payment date "
                                                           << "has to be calculted in the client code");
    return rebatePaymentCalendar_.advance(exerciseDates_[index], rebateSettlementPeriod_, rebatePaymentConvention_);
}

rebatePaymentDate() [2/2]

Date rebatePaymentDate

(

const Date &

exerciseDate

)

const

Definition at line 81 of file rebatedexercise.hpp.

                                                                             {
    return rebatePaymentCalendar_.advance(exerciseDate, rebateSettlementPeriod_, rebatePaymentConvention_);
}

rebates()

const std::vector< Real > & rebates

(

)

const

Definition at line 59 of file rebatedexercise.hpp.

{ return rebates_; }

Member Data Documentation

exerciseDates_

std::vector<Date> exerciseDates_

private

Definition at line 62 of file rebatedexercise.hpp.

rebates_

std::vector<Real> rebates_

private

Definition at line 63 of file rebatedexercise.hpp.

rebateSettlementPeriod_

Period rebateSettlementPeriod_

private

Definition at line 64 of file rebatedexercise.hpp.

rebatePaymentCalendar_

Calendar rebatePaymentCalendar_

private

Definition at line 65 of file rebatedexercise.hpp.

rebatePaymentConvention_

BusinessDayConvention rebatePaymentConvention_

private

Definition at line 66 of file rebatedexercise.hpp.