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I have some changes in my CVS tree that change how dividends are
modelled so that they are just another type of cash flow. This really
simplifies the code, and lets you do stuff like create a vector of
periodic dividends.
Any reason why I shouldn't check this in?
Speaking of dividends.....
One thing that is a little off is that we have DividendVanillaOption
when in fact the Vanilla option is not the item paying the dividend.
I'd like to restructure the code so that it matches the actual situation
which is that the vanilla option has an underlying which is a stock.
The stock has a process and zero or more dividends.
Now here is the magic.
Instead of a stock, you have a bond with a pricing process and zero or
more coupons. You put that into the vanilla option, you then put the
vanilla option through the pricing engines. As far as I can tell, this
should work with some tweaks here and there.
Suppose you now put in a option as an underlying to an option and then
run that through the pricing models. I'm trying to figure out what it
would take to get that to give you the correct answer.
Thoughts?
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