QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
RebatedExercise Class Reference

Rebated exercise. More...

#include <rebatedexercise.hpp>

+ Inheritance diagram for RebatedExercise:
+ Collaboration diagram for RebatedExercise:

Public Member Functions

 RebatedExercise (const Exercise &exercise, Real rebate=0.0, Natural rebateSettlementDays=0, Calendar rebatePaymentCalendar=NullCalendar(), BusinessDayConvention rebatePaymentConvention=Following)
 
 RebatedExercise (const Exercise &exercise, const std::vector< Real > &rebates, Natural rebateSettlementDays=0, Calendar rebatePaymentCalendar=NullCalendar(), BusinessDayConvention rebatePaymentConvention=Following)
 
Real rebate (Size index) const
 
Date rebatePaymentDate (Size index) const
 
const std::vector< Real > & rebates () const
 
- Public Member Functions inherited from Exercise
 Exercise (Type type)
 
virtual ~Exercise ()=default
 
Type type () const
 
Date date (Size index) const
 
Date dateAt (Size index) const
 
const std::vector< Date > & dates () const
 Returns all exercise dates. More...
 
Date lastDate () const
 

Private Attributes

const std::vector< Realrebates_
 
const Natural rebateSettlementDays_
 
const Calendar rebatePaymentCalendar_
 
const BusinessDayConvention rebatePaymentConvention_
 

Additional Inherited Members

- Public Types inherited from Exercise
enum  Type { American , Bermudan , European }
 
- Protected Attributes inherited from Exercise
std::vector< Datedates_
 
Type type_
 

Detailed Description

Rebated exercise.

in case of exercise the holder receives a rebate (if positive) or pays it (if negative) on the rebate settlement date

Definition at line 38 of file rebatedexercise.hpp.

Constructor & Destructor Documentation

◆ RebatedExercise() [1/2]

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

Definition at line 25 of file rebatedexercise.cpp.

◆ RebatedExercise() [2/2]

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

Definition at line 35 of file rebatedexercise.cpp.

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Member Function Documentation

◆ rebate()

Real rebate ( Size  index) const

Definition at line 64 of file rebatedexercise.hpp.

◆ rebatePaymentDate()

Date rebatePaymentDate ( Size  index) const

Definition at line 71 of file rebatedexercise.hpp.

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◆ rebates()

const std::vector< Real > & rebates ( ) const

Definition at line 55 of file rebatedexercise.hpp.

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Member Data Documentation

◆ rebates_

const std::vector<Real> rebates_
private

Definition at line 58 of file rebatedexercise.hpp.

◆ rebateSettlementDays_

const Natural rebateSettlementDays_
private

Definition at line 59 of file rebatedexercise.hpp.

◆ rebatePaymentCalendar_

const Calendar rebatePaymentCalendar_
private

Definition at line 60 of file rebatedexercise.hpp.

◆ rebatePaymentConvention_

const BusinessDayConvention rebatePaymentConvention_
private

Definition at line 61 of file rebatedexercise.hpp.