private void MakeDivArray(ZeroCurve myZero, DivList myDivList)
{
double dt = Tau / GridSteps;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < GridSteps; idx++)
{
double temp = 0.0;
for (int kdx = 0; kdx < myDivList.Divpoints; kdx++)
{
if ((myDivList.GetT(kdx) > idx * dt) && (myDivList.GetT(kdx) < Tau))
{
temp += myDivList.GetD(kdx) * Math.Exp(-myZero.ForwardRate(idx * dt, myDivList.GetT(kdx)) *
(myDivList.GetT(kdx) - idx * dt));
}
}
SetDividends(idx, temp, dt * idx);
}
}
else //missing either div or zero, load in 0 for _div on tree
{
for (int idx = 0; idx <= GridSteps; idx++)
{
SetDividends(idx, 0.0, dt * idx);
}
}
}
public static double GetATMfwd(ZeroCurve myZero, DivList myDivList, double spot, double t)
{
double spotStart = spot;
//compute the discounted dividends and take off spot
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= t)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
spotStart -= d1 * t1;
}
}
}
//gross up to expiry to get atfwd
if (myZero != null)
{
double r = myZero.LinInterp(t);
return(spotStart * Math.Exp(r * t));
}
return(0);
}
//compute Sstar for the BC's
private double ComputeDiscDiv(double tTemp, double T, ZeroCurve myZero, DivList mydiv)
{
double temp = 0.0;
for (int idx = 0; idx < mydiv.Divpoints; idx++)
{
if ((tTemp < mydiv.GetT(idx)) && (mydiv.GetT(idx) < T))
{
double fwdRate = myZero.ForwardRate(tTemp, mydiv.GetT(idx));
temp += mydiv.GetD(idx) * Math.Exp(-fwdRate * (mydiv.GetT(idx) - tTemp));
}
}
return temp;
}
//determine if dt needs adjusted because a div occurs in proposed interval
private double CheckBetweenDiv(double t1, double t2, ref double discDiv, DivList myDiv) //t1 & t2 are real times
{
double temp = t2-t1;
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
if ((t1 <= myDiv.GetT(idx)) && (t2 > myDiv.GetT(idx)))
{
temp = t2 - myDiv.GetT(idx);
discDiv = myDiv.GetD(idx);
break;
}
}
return temp;
}
private void MakeSpotStar(ZeroCurve myZero, DivList myDivList)
{
SpotStart = Spot;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
SpotStart -= d1 * t1;
}
}
}
}