flatforwarddividendcurve.cpp

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/*
 Copyright (C) 2023 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/termstructures/flatforwarddividendcurve.hpp>
 
namespace QuantExt {
 
Date FlatForwardDividendCurve::maxDate() const { 
    return Date::maxDate(); }
 
DiscountFactor FlatForwardDividendCurve::discountImpl(Time t) const {
    Time maxTime = dividendCurve_->maxTime();
    if (t > maxTime) {
        if (allowsExtrapolation())
            return dividendCurve_->discount(maxTime) / forecastCurve_->discount(maxTime) * forecastCurve_->discount(t);
        else
            return dividendCurve_->discount(maxTime);
    }
 
    return dividendCurve_->discount(t); 
}
 
} // QuantExt