adjust_for_dividends {ragtop} | R Documentation |
Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given interval
Description
Analyze dividends
to find ones paid in the interval (t,t+dt]
. Form
present value as of time t
for them, and then use spline interpolation
to adjust instrument values accordingly.
Usage
adjust_for_dividends(grid_values, t, dt, r, h, S, S0, dividends)
Arguments
grid_values |
A |
t |
Time after this timestep has been taken |
dt |
Interval to end of timestep |
r |
risk-free interest rate |
h |
Default intensities |
S |
Underlying equity values for the grid |
S0 |
Time zero price of the base equity |
dividends |
A |
Value
An object like grid_values
with entries modified according to the dividends
See Also
Other Dividends:
shift_for_dividends()
,
time_adj_dividends()
[Package ragtop version 1.1.1 Index]