rebatedexercise.cpp

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/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/instruments/rebatedexercise.hpp>
 
namespace QuantExt {
 
RebatedExercise::RebatedExercise(const Exercise& exercise, const Real rebate, const Natural rebateSettlementDays,
                                 const Calendar& rebatePaymentCalendar,
                                 const BusinessDayConvention rebatePaymentConvention)
    : RebatedExercise(exercise, exercise.dates(), std::vector<Real>(exercise.dates().size(), rebate),
                      rebateSettlementDays * Days, rebatePaymentCalendar, rebatePaymentConvention) {}
 
RebatedExercise::RebatedExercise(const Exercise& exercise, const Real rebate, const Period& rebateSettlementPeriod,
                                 const Calendar& rebatePaymentCalendar,
                                 const BusinessDayConvention rebatePaymentConvention)
    : RebatedExercise(exercise, exercise.dates(), std::vector<Real>(exercise.dates().size(), rebate),
                      rebateSettlementPeriod, rebatePaymentCalendar, rebatePaymentConvention) {}
 
RebatedExercise::RebatedExercise(const Exercise& exercise, const std::vector<Real>& rebates,
                                 const Natural rebateSettlementDays, const Calendar& rebatePaymentCalendar,
                                 const BusinessDayConvention rebatePaymentConvention)
    : RebatedExercise(exercise, exercise.dates(), rebates, rebateSettlementDays * Days, rebatePaymentCalendar,
                      rebatePaymentConvention) {}
 
RebatedExercise::RebatedExercise(const Exercise& exercise, const std::vector<Real>& rebates,
                                 const Period& rebateSettlementPeriod, const Calendar& rebatePaymentCalendar,
                                 const BusinessDayConvention rebatePaymentConvention)
    : RebatedExercise(exercise, exercise.dates(), rebates, rebateSettlementPeriod, rebatePaymentCalendar,
                      rebatePaymentConvention) {}
 
RebatedExercise::RebatedExercise(const Exercise& exercise, const std::vector<Date>& exerciseDates,
                                 const std::vector<Real>& rebates, const Period& rebateSettlementPeriod,
                                 const Calendar& rebatePaymentCalendar,
                                 const BusinessDayConvention rebatePaymentConvention)
    : 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());
}
 
} // namespace QuantExt