Equity forward curve
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As many equity traders work with a forward curve and a dividend curve (rather than a risk-free curve), is there any functionality available to create a forward curve (N.B. not a forward-rate curve) and use this with a dividend curve in a GeneralisedBlackScholes framework? Thanks,
Simon Ibbotson
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On Fri, Dec 23, 2011 at 11:30 AM, Simon Ibbotson
<[hidden email]> wrote: > As many equity traders work with a forward curve and a dividend curve > (rather than a risk-free curve), is there any functionality available to > create a forward curve (N.B. not a forward-rate curve) and use this with a > dividend curve in a GeneralisedBlackScholes framework? Not directly (I'm not even sure that we have a class that can model a forward curve yet) but if the forward curve can provide the discount factor for any time t, then one can write an adapter that takes it and wraps it inside a discount curve to be used in Black-Scholes. What interface would you have in mind for building and inspecting the curve? Luigi ------------------------------------------------------------------------------ Write once. Port to many. Get the SDK and tools to simplify cross-platform app development. Create new or port existing apps to sell to consumers worldwide. Explore the Intel AppUpSM program developer opportunity. appdeveloper.intel.com/join http://p.sf.net/sfu/intel-appdev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In terms of interface - something similar to the BootstrapHelpers.
The forward curve would usually look like a strip of fixed maturities or fixed tenors with Quotes which could be a fixed value (or points for FX implied curves) + a spot value. Potential problems: 1) Defining the discount factor for spot 2) Cash (vs yield) dividend specification Simon -----Original Message----- From: Luigi Ballabio [mailto:[hidden email]] Sent: 23 December 2011 12:18 To: Simon Ibbotson Cc: [hidden email] Subject: Re: [Quantlib-users] Equity forward curve On Fri, Dec 23, 2011 at 11:30 AM, Simon Ibbotson <[hidden email]> wrote: > As many equity traders work with a forward curve and a dividend curve > (rather than a risk-free curve), is there any functionality available > to create a forward curve (N.B. not a forward-rate curve) and use this > with a dividend curve in a GeneralisedBlackScholes framework? Not directly (I'm not even sure that we have a class that can model a forward curve yet) but if the forward curve can provide the discount factor for any time t, then one can write an adapter that takes it and wraps it inside a discount curve to be used in Black-Scholes. What interface would you have in mind for building and inspecting the curve? Luigi This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** ------------------------------------------------------------------------------ Write once. Port to many. Get the SDK and tools to simplify cross-platform app development. Create new or port existing apps to sell to consumers worldwide. Explore the Intel AppUpSM program developer opportunity. appdeveloper.intel.com/join http://p.sf.net/sfu/intel-appdev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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