Coverage Report

Created: 2025-08-28 06:30

/src/quantlib/ql/exercise.cpp
Line
Count
Source (jump to first uncovered line)
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
6
 Copyright (C) 2003 Ferdinando Ametrano
7
8
 This file is part of QuantLib, a free-software/open-source library
9
 for financial quantitative analysts and developers - http://quantlib.org/
10
11
 QuantLib is free software: you can redistribute it and/or modify it
12
 under the terms of the QuantLib license.  You should have received a
13
 copy of the license along with this program; if not, please email
14
 <quantlib-dev@lists.sf.net>. The license is also available online at
15
 <http://quantlib.org/license.shtml>.
16
17
 This program is distributed in the hope that it will be useful, but WITHOUT
18
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19
 FOR A PARTICULAR PURPOSE.  See the license for more details.
20
*/
21
22
#include <ql/exercise.hpp>
23
#include <ql/errors.hpp>
24
#include <algorithm>
25
26
namespace QuantLib {
27
28
508k
    Date Exercise::lastDate() const {
29
508k
        QL_REQUIRE(!dates_.empty(), "no exercise date given");
30
508k
        return dates_.back();
31
508k
    }
32
33
    AmericanExercise::AmericanExercise(const Date& earliest,
34
                                       const Date& latest,
35
                                       bool payoffAtExpiry)
36
508k
    : EarlyExercise(American, payoffAtExpiry) {
37
508k
        QL_REQUIRE(earliest<=latest,
38
508k
                   "earliest > latest exercise date");
39
508k
        dates_ = std::vector<Date>(2);
40
508k
        dates_[0] = earliest;
41
508k
        dates_[1] = latest;
42
508k
    }
43
44
    AmericanExercise::AmericanExercise(const Date& latest,
45
                                       bool payoffAtExpiry)
46
0
    : EarlyExercise(American, payoffAtExpiry) {
47
0
        dates_ = std::vector<Date>(2);
48
0
        dates_[0] = Date::minDate();
49
0
        dates_[1] = latest;
50
0
    }
51
52
    BermudanExercise::BermudanExercise(const std::vector<Date>& dates,
53
                                       bool payoffAtExpiry)
54
0
    : EarlyExercise(Bermudan, payoffAtExpiry) {
55
0
        QL_REQUIRE(!dates.empty(), "no exercise date given");
56
0
        dates_ = dates;
57
0
        std::sort(dates_.begin(), dates_.end());
58
0
    }
59
60
    EuropeanExercise::EuropeanExercise(const Date& date)
61
0
    : Exercise(European) {
62
0
        dates_ = std::vector<Date>(1,date);
63
0
    }
64
65
}