rebatedexercise.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013 Peter Caspers
 
 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/rebatedexercise.hpp>
#include <utility>
 
namespace QuantLib {
 
    RebatedExercise::RebatedExercise(const Exercise& exercise,
                                     const Real rebate,
                                     const Natural rebateSettlementDays,
                                     Calendar rebatePaymentCalendar,
                                     const BusinessDayConvention rebatePaymentConvention)
    : Exercise(exercise), rebates_(std::vector<Real>(dates().size(), rebate)),
      rebateSettlementDays_(rebateSettlementDays),
      rebatePaymentCalendar_(std::move(rebatePaymentCalendar)),
      rebatePaymentConvention_(rebatePaymentConvention) {}
 
    RebatedExercise::RebatedExercise(const Exercise& exercise,
                                     const std::vector<Real>& rebates,
                                     const Natural rebateSettlementDays,
                                     Calendar rebatePaymentCalendar,
                                     const BusinessDayConvention rebatePaymentConvention)
    : Exercise(exercise), rebates_(rebates), rebateSettlementDays_(rebateSettlementDays),
      rebatePaymentCalendar_(std::move(rebatePaymentCalendar)),
      rebatePaymentConvention_(rebatePaymentConvention) {
 
        QL_REQUIRE(
            type_ == Bermudan,
            "a rebate vector is allowed only for a bermudan style exercise");
 
        QL_REQUIRE(rebates.size() == dates().size(),
                   "the number of rebates ("
                       << rebates.size()
                       << ") must be equal to the number of exercise dates ("
                       << dates().size());
    }
}