QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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escroweddividendadjustment.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2021 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file escroweddividendadjustment.cpp
21*/
23
24namespace QuantLib {
25
27 DividendSchedule dividendSchedule,
30 ext::function<Real(Date)> toTime,
31 Time maturity)
32 : dividendSchedule_(std::move(dividendSchedule)),
33 rTS_(std::move(rTS)), qTS_(std::move(qTS)),
34 toTime_(std::move(toTime)), maturity_(maturity) {}
35
36
38
39 Real divAdj = 0.0;
40 for (auto const& dividend: dividendSchedule_) {
41 const Time divTime = toTime_(dividend->date());
42
43 if (divTime >= t && t <= maturity_)
44 divAdj -= dividend->amount()
45 * rTS_->discount(divTime) / rTS_->discount(t)
46 * qTS_->discount(t) / qTS_->discount(divTime);
47 }
48
49 return divAdj;
50 }
51
54 return rTS_;
55 }
56
59 return qTS_;
60 }
61}
Concrete date class.
Definition: date.hpp:125
const Handle< YieldTermStructure > qTS_
const Handle< YieldTermStructure > & dividendYield() const
EscrowedDividendAdjustment(DividendSchedule dividendSchedule, Handle< YieldTermStructure > rTS, Handle< YieldTermStructure > qTS, ext::function< Real(Date)> toTime, Time maturity)
const Handle< YieldTermStructure > rTS_
const ext::function< Real(Date)> toTime_
const Handle< YieldTermStructure > & riskFreeRate() const
Shared handle to an observable.
Definition: handle.hpp:41
const DefaultType & t
const ext::shared_ptr< YieldTermStructure > rTS_
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
STL namespace.