QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Rebated exercise. More...
#include <rebatedexercise.hpp>
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< Real > | rebates_ |
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< Date > | dates_ |
Type | type_ |
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.
RebatedExercise | ( | const Exercise & | exercise, |
Real | rebate = 0.0 , |
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Natural | rebateSettlementDays = 0 , |
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Calendar | rebatePaymentCalendar = NullCalendar() , |
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BusinessDayConvention | rebatePaymentConvention = Following |
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Definition at line 25 of file rebatedexercise.cpp.
RebatedExercise | ( | const Exercise & | exercise, |
const std::vector< Real > & | rebates, | ||
Natural | rebateSettlementDays = 0 , |
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Calendar | rebatePaymentCalendar = NullCalendar() , |
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BusinessDayConvention | rebatePaymentConvention = Following |
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) |
Definition at line 64 of file rebatedexercise.hpp.
const std::vector< Real > & rebates | ( | ) | const |
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private |
Definition at line 58 of file rebatedexercise.hpp.
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Definition at line 59 of file rebatedexercise.hpp.
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private |
Definition at line 60 of file rebatedexercise.hpp.
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private |
Definition at line 61 of file rebatedexercise.hpp.