Class EscrowedDividendAdjustment

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The escrowed dividend model's adjustment of the spot: minus the value at a time of the dividends paid from then to maturity, each discounted by the risk-free curve and compounded by the dividend curve.

public sealed class EscrowedDividendAdjustment

Inheritance

object

EscrowedDividendAdjustment

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. Its times are the risk-free curve's, or in the finite-difference engine the engine's; QuantLib reads the dividend curve at them, where here each curve is read at the instants they denote, on its own clock, as FdmBlackScholesOp reads it, and as QuantLib reads it where the curves share the times' day counter and reference date.

Constructors

EscrowedDividendAdjustment(ImmutableArray<Dividend>, YieldTermStructure, YieldTermStructure, Func<Date, double>, double, EvaluationContext, TermStructure?)

Initializes a new instance of the EscrowedDividendAdjustment class.

public EscrowedDividendAdjustment(ImmutableArray<Dividend> dividendSchedule, YieldTermStructure rTS, YieldTermStructure qTS, Func<Date, double> toTime, double maturity, EvaluationContext context, TermStructure? clock = null)

Parameters

dividendSchedule ImmutableArray<Dividend>

The cash dividends.

rTS YieldTermStructure

The risk-free curve.

qTS YieldTermStructure

The dividend curve.

toTime Func<Date, double>

The mapping of a date to a time on clock.

maturity double

The maturity, as a time on clock.

context EvaluationContext

The evaluation context the dividends' amounts are read in.

clock TermStructure

The clock the times are on, each curve read at the instants they denote: the risk-free curve by default, and in the finite-difference engine the engine's (Clock(GeneralizedBlackScholesProcess, FdmQuantoHelper?)).

Exceptions

ArgumentNullException

An argument is null.

ArgumentException

The schedule is default(ImmutableArray) or holds a null dividend.

Properties

DividendYield

Gets the dividend curve.

public YieldTermStructure DividendYield { get; }

Property Value

YieldTermStructure

RiskFreeRate

Gets the risk-free curve.

public YieldTermStructure RiskFreeRate { get; }

Property Value

YieldTermStructure

Methods

DividendAdjustment(double)

The adjustment of the spot at time t.

public double DividendAdjustment(double t)

Parameters

t double

The time.

Returns

double

Minus the value at t of the dividends paid from then to maturity.