SAMPLE EXAM 1
Functions
Construction of data curves.

Functions

cfl::Function prb::forwardStockDividends (double dSpot, std::vector< double > &rFixedDividendsTimes, std::vector< double > &rFixedDividends, const cfl::Function &rDiscount, double dInitialTime)
 

Detailed Description

This module contains functions that construct input data curves, such as volatility, forward, and discount, for financial models.

Function Documentation

cfl::Function prb::forwardStockDividends ( double  dSpot,
std::vector< double > &  rFixedDividendsTimes,
std::vector< double > &  rFixedDividends,
const cfl::Function rDiscount,
double  dInitialTime 
)

Computes the curve of forward prices on a stock paying discrete dividends.

Parameters
dSpotThe spot price of the stock.
rFixedDividendsTimesThe vector of times, when fixed dividends are paid.
rFixedDividendsThe vector of fixed dividends (in cash).
rDiscountThe discount curve.
dInitialTimeThe initial time.
Returns
The forward price curve for the stock.