Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given interval

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Description

Analyze dividends to find ones paid in the interval (t,t+dt]. Form present value as of time t for them, and then use spline interpolation to adjust instrument values accordingly.

Usage

1
adjust_for_dividends(grid_values, t, dt, r, h, S, S0, dividends)

Arguments

grid_values

A matrix with one row for each level of S and one column per set of S-associated instrument values

t

Time after this timestep has been taken

dt

Interval to end of timestep

r

risk-free interest rate

h

Default intensities

S

Underlying equity values for the grid

S0

Time zero price of the base equity

dividends

A data.frame with columns time, fixed, and proportional. Dividend size at the given time is then expected to be equal to fixed + proportional * S / S0

Value

An object like grid_values with entries modified according to the dividends

See Also

Other Dividends: shift_for_dividends, time_adj_dividends

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