protected double getDividendAmount(int i)
{
Dividend dividend = events_[i] as Dividend;
if (dividend != null)
{
return(dividend.amount());
}
else
{
return(0.0);
}
}
protected override void setGridLimits()
{
double underlying = process_.stateVariable().link.value();
for (int i = 0; i < events_.Count; i++)
{
Dividend dividend = events_[i] as Dividend;
if (dividend == null)
{
continue;
}
if (getDividendTime(i) < 0.0)
{
continue;
}
underlying -= dividend.amount(underlying);
}
base.setGridLimits(underlying, getResidualTime());
ensureStrikeInGrid();
}
public Vector adjustedGrid()
{
double t = time();
Vector grid = method().grid(t);
// add back all dividend amounts in the future
for (var i = 0; i < arguments_.dividends.Count; i++)
{
double dividendTime = dividendTimes_[i];
if (dividendTime >= t || Utils.close(dividendTime, t))
{
Dividend d = arguments_.dividends[i];
double dividendDiscount = process_.riskFreeRate().currentLink().discount(dividendTime) /
process_.riskFreeRate().currentLink().discount(t);
for (var j = 0; j < grid.size(); j++)
{
grid[j] += d.amount(grid[j]) * dividendDiscount;
}
}
}
return(grid);
}
protected override void executeIntermediateStep(int step)
{
Dividend dividend = events_[step] as Dividend;
if (dividend == null)
{
return;
}
DividendAdder adder = new DividendAdder(dividend);
sMin_ = adder.value(sMin_);
sMax_ = adder.value(sMax_);
center_ = adder.value(center_);
intrinsicValues_.transformGrid(adder.value);
intrinsicValues_.sample(payoff_.value);
prices_.transformGrid(adder.value);
initializeOperator();
initializeModel();
initializeStepCondition();
stepCondition_.applyTo(prices_.values(), getDividendTime(step));
}
public DividendAdder(Dividend d)
{
dividend = d;
}