| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
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| 5 | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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| 6 | Copyright (C) 2003 Ferdinando Ametrano |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | #include <ql/exercise.hpp> |
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| 23 | #include <ql/errors.hpp> |
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| 24 | #include <algorithm> |
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| 25 | |
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| 26 | namespace QuantLib { |
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| 27 | |
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| 28 | Date Exercise::lastDate() const { |
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| 29 | QL_REQUIRE(!dates_.empty(), "no exercise date given" ); |
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| 30 | return dates_.back(); |
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| 31 | } |
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| 32 | |
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| 33 | AmericanExercise::AmericanExercise(const Date& earliest, |
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| 34 | const Date& latest, |
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| 35 | bool payoffAtExpiry) |
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| 36 | : EarlyExercise(American, payoffAtExpiry) { |
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| 37 | QL_REQUIRE(earliest<=latest, |
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| 38 | "earliest > latest exercise date" ); |
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| 39 | dates_ = std::vector<Date>(2); |
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| 40 | dates_[0] = earliest; |
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| 41 | dates_[1] = latest; |
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| 42 | } |
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| 43 | |
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| 44 | AmericanExercise::AmericanExercise(const Date& latest, |
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| 45 | bool payoffAtExpiry) |
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| 46 | : EarlyExercise(American, payoffAtExpiry) { |
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| 47 | dates_ = std::vector<Date>(2); |
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| 48 | dates_[0] = Date::minDate(); |
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| 49 | dates_[1] = latest; |
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| 50 | } |
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| 51 | |
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| 52 | BermudanExercise::BermudanExercise(const std::vector<Date>& dates, |
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| 53 | bool payoffAtExpiry) |
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| 54 | : EarlyExercise(Bermudan, payoffAtExpiry) { |
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| 55 | QL_REQUIRE(!dates.empty(), "no exercise date given" ); |
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| 56 | dates_ = dates; |
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| 57 | std::sort(first: dates_.begin(), last: dates_.end()); |
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| 58 | } |
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| 59 | |
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| 60 | EuropeanExercise::EuropeanExercise(const Date& date) |
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| 61 | : Exercise(European) { |
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| 62 | dates_ = std::vector<Date>(1,date); |
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| 63 | } |
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| 64 | |
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| 65 | } |
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| 66 | |
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