Description Usage Arguments Value See Also
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.
1 | adjust_for_dividends(grid_values, t, dt, r, h, S, S0, dividends)
|
grid_values |
A |
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 |
An object like grid_values
with entries modified according to the dividends
Other Dividends:
shift_for_dividends()
,
time_adj_dividends()
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