Exclamatory sentences express a sudden outburst of some emotions such as joy, sorrow, contempt, regret, surprise etc. Common explanatory phrases are given below:

Hurrah! Ha! (Express joy)
Alas! Oh! (Express sorrow, regret, or loss)
Bravo! (Express Applause)
What! Oh! How! (Express surprise)
Pooh! Pshaw! (Express contempt)

An exclamatory sentence has a sign of exclamation after it which changes into a full stop in the indirect speech.

In indirect speech, the exclamatory phrase or word (interjection) is replaced by ‘exclaimed with joy, sorrow, regret, surprise, contempt etc.’

The connective that has to be supplied in the indirect speech.

Examples are given below:

Direct: The boy said, ‘Hurrah! We have won the match.’
Indirect: The boy exclaimed with joy that they had won the match.
Direct: The old man said, ‘Alas! I have lost my purse.’
Indirect: The old man exclaimed with sorrow that he had lost his purse.
Direct: The child said, ‘What a beautiful sight!’
Indirect: The child exclaimed with delight that it was a very beautiful sight. OR The child exclaimed with delight that the sight was very beautiful.
Direct: The girl said, ‘How beautiful the girl is!’
Indirect: The girl exclaimed with delight that the rainbow was very beautiful.
Direct: The candidate said, ‘How difficult the problem is!’
Indirect: The candidate exclaimed with disapproval that the problem was very difficult.
Direct: The students said to the teacher, ‘Good morning, Teacher!’
Indirect:  The students respectfully wished their teacher good morning.
Direct: ‘How glad I am,’ said Alice, ‘to meet my friend here.’
Indirect: Alice exclaimed with delight that she was very glad to meet her friend there.
Direct: The Emperor said, ‘Alas! Our foes are too strong!’
Indirect: The Emperor exclaimed with sorrow that their foes were too strong.
Direct: ‘Hurrah!’ cried the boy, ‘I have won a prize.’
Indirect: The boy exclaimed with delight he had done a prize.