On Jun 28, 2011, at 10:19 AM, g m wrote:
> I'd like to generate a Black Scholes process
> (GeneralizedBlackScholesProcess class) with a dividend yield term
> structure (a piecewise curve),
> My problem is that I didn't find an adapted object to model my
> structure. logically, the PiecewiseYieldCurve class seemed to be the
> right candidate but
> it takes a instruments list in its constructor. what shoud this list
> be in case of dividend yield TS?
> Is there another object more adapted to dividend yield term structure?
You can use one of InterpolatedZeroCurve, InterpolatedDiscountCurve,
or InterpolatedForwardCurve as you see fit.
Luigi
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