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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file escroweddividendadjustment.cpp
*/
#include <ql/methods/finitedifferences/utilities/escroweddividendadjustment.hpp>
namespace QuantLib {
EscrowedDividendAdjustment::EscrowedDividendAdjustment(
DividendSchedule dividendSchedule,
Handle<YieldTermStructure> rTS,
Handle<YieldTermStructure> qTS,
std::function<Real(Date)> toTime,
Time maturity)
: dividendSchedule_(std::move(dividendSchedule)),
rTS_(std::move(rTS)), qTS_(std::move(qTS)),
toTime_(std::move(toTime)), maturity_(maturity) {}
Real EscrowedDividendAdjustment::dividendAdjustment(Time t) const {
Real divAdj = 0.0;
for (auto const& dividend: dividendSchedule_) {
const Time divTime = toTime_(dividend->date());
if (divTime >= t && divTime <= maturity_) {
divAdj -= dividend->amount()
* rTS_->discount(divTime) / rTS_->discount(t)
* qTS_->discount(t) / qTS_->discount(divTime);
}
}
return divAdj;
}
const Handle<YieldTermStructure>&
EscrowedDividendAdjustment::riskFreeRate() const {
return rTS_;
}
const Handle<YieldTermStructure>&
EscrowedDividendAdjustment::dividendYield() const {
return qTS_;
}
}
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