QuantLib
: a free/open-source library for quantitative finance
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ql
methods
finitedifferences
utilities
escroweddividendadjustment.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2021 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_escrowed_dividend_adjustment_hpp
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#define quantlib_escrowed_dividend_adjustment_hpp
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#include <ql/handle.hpp>
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#include <ql/functional.hpp>
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#include <ql/termstructures/yieldtermstructure.hpp>
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#include <ql/instruments/dividendschedule.hpp>
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namespace
QuantLib
{
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class
EscrowedDividendAdjustment
{
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public
:
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EscrowedDividendAdjustment
(
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DividendSchedule
dividendSchedule,
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Handle<YieldTermStructure>
rTS,
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Handle<YieldTermStructure>
qTS,
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ext::function<
Real
(
Date
)> toTime,
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Time
maturity);
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Real
dividendAdjustment
(
Time
t)
const
;
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const
Handle<YieldTermStructure>
&
riskFreeRate
()
const
;
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const
Handle<YieldTermStructure>
&
dividendYield
()
const
;
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private
:
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const
DividendSchedule
dividendSchedule_
;
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const
Handle<YieldTermStructure>
rTS_
,
qTS_
;
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const
ext::function<
Real
(
Date
)>
toTime_
;
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const
Time
maturity_
;
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};
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}
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#endif
QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::EscrowedDividendAdjustment
Definition:
escroweddividendadjustment.hpp:33
QuantLib::EscrowedDividendAdjustment::dividendAdjustment
Real dividendAdjustment(Time t) const
Definition:
escroweddividendadjustment.cpp:37
QuantLib::EscrowedDividendAdjustment::qTS_
const Handle< YieldTermStructure > qTS_
Definition:
escroweddividendadjustment.hpp:49
QuantLib::EscrowedDividendAdjustment::dividendYield
const Handle< YieldTermStructure > & dividendYield() const
Definition:
escroweddividendadjustment.cpp:58
QuantLib::EscrowedDividendAdjustment::dividendSchedule_
const DividendSchedule dividendSchedule_
Definition:
escroweddividendadjustment.hpp:48
QuantLib::EscrowedDividendAdjustment::rTS_
const Handle< YieldTermStructure > rTS_
Definition:
escroweddividendadjustment.hpp:49
QuantLib::EscrowedDividendAdjustment::toTime_
const ext::function< Real(Date)> toTime_
Definition:
escroweddividendadjustment.hpp:50
QuantLib::EscrowedDividendAdjustment::riskFreeRate
const Handle< YieldTermStructure > & riskFreeRate() const
Definition:
escroweddividendadjustment.cpp:53
QuantLib::EscrowedDividendAdjustment::maturity_
const Time maturity_
Definition:
escroweddividendadjustment.hpp:51
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
QuantLib::DividendSchedule
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Definition:
dividendschedule.hpp:33
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