Exercise

Types for option exercises

Two abstract types govern these structures:

abstract Exercise
abstract EarlyExercise <: Exercise

American Exercise

An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can be exercised at any time before the expiry.

type AmericanExercise <: EarlyExercise
  dates::Vector{Date}
end

AmericanExercise(d1::Date, d2::Date)

Constructor for an American Exercise with earliest date and latest date for exercise

Bermudan Exercise

A Bermudan option can only be exercised at a set of fixed dates.

type BermudanExercise <: EarlyExercise
  dates::Vector{Date}
end

European Exercise

A European option can only be exercised at one (expiry) date.

type EuropeanExercise <: Exercise
  dates::Vector{Date}
end

EuropeanExercise(d::Date) = EuropeanExercise([d])

Constructs a European Exercise with one expiration date

Rebated Exercise

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

type RebatedExercise <: Exercise
  exercise::Exercise
  rebate::Float64
  rebateSettlementDays::Int
  rebatePaymentCalendar::BusinessCalendar
  rebatePaymentConvention::BusinessDayConvention
end

RebatedExercise(exercise::Exercise, rebate::Float64 = 0.0, rebateSettlementDays::Int = 0, rebatePaymentCalendar::BusinessCalendar = NullCalendar(), rebatePaymentConvention::BusinessDayConvention = Following())

Default constructor for a RebatedExercise