Exercise and menstruation

If you are a woman you know that when you have your period you usually don't feel like doing anything.
The last thing that I want to do then is exercise.
Really I just want to stay in bed under the cover with a warm water bottle on my stomach.
This might be a good solution for an hour or so but in the long run what will really help me is exercise. No matter how much I dislike it, that's what is the key to pain relief for most women.
Of course you should only do this if you feel that you will benefit from it. But I would suggest trying a few times before making up your mind. It might help you in the long run.
If I haven't got the time to go out for a run or exercise I try and do some light abdominal exercises to relieve the pain.
For example:
Stand on the floor with your legs apart, roll your hips using circular movements. Back and forth.
Lie on the floor, legs together, slightly lift up your legs a few times.
Lie on the floor, hands under bum, lift your legs higher than in the previous exercise.
Or as above but legs a part.
Stretching, always good to relieve a stressed and tense body.
Do you have any tips on how to relieve pain during menstruation? Is exercising better than staying in bed?