public static BlackScholesWithDividendOption Build(double spot,
DividendQuote[] dividends,
DiscountCurve discountCurve,
ITimeMeasure time)
{
var divUtils = new AffineDivCurveUtils(dividends, discountCurve, time);
return(new BlackScholesWithDividendOption(spot, divUtils));
}
public BsDivPrice(double maturity, double strike, double spot,
AffineDivCurveUtils affineDivUtils, double[] quadPoints, double[] quadWeights)
{
this.quadWeights = quadWeights;
this.maturity = maturity;
midT = 0.5 * maturity; //TODO find a best heuristic !
dT = maturity - midT;
double sqrtMidT = Math.Sqrt(midT);
z = quadPoints.Map(p => p * sqrtMidT);
var displacement1 = affineDivUtils.CashBpvAverage(0.0, midT);
var displacement2 = affineDivUtils.CashBpvAverage(midT, maturity);
var maturityGrowth = affineDivUtils.AssetGrowth(maturity);
k = strike + maturityGrowth * (affineDivUtils.CashDivBpv(maturity) - displacement2);
a = maturityGrowth * (spot - displacement1);
b = maturityGrowth * (displacement1 - displacement2);
}
public BlackScholesWithDividendOption(double spot, AffineDivCurveUtils affineDivUtils, int quadratureNbPoints = 10)
{
this.affineDivUtils = affineDivUtils;
this.spot = spot;
GaussHermite.GetQuadrature(quadratureNbPoints, out quadPoints, out quadWeights);
}
