Which YieldTermStructure to use for a dividend yield curve

[Lapin]

Hi,

I am trying to build a curve for the dividend yield.
I would like to bootstrap the curve but I don't know which structure to use.
A flat curve would not work fine since I expect the dividend yield to be maximum at the payment date, and then to decrease until the next one.

Does anyone have any experience on this point?

Cheers

[Luigi Ballabio]

On Fri, 2007-11-02 at 08:52 -0700, Yomi wrote:
> I am trying to build a curve for the dividend yield.
> I would like to bootstrap the curve but I don't know which structure to use.
> A flat curve would not work fine since I expect the dividend yield to be
> maximum at the payment date, and then to decrease until the next one.

At this time, there's no term structure that behaves as you'd like.
Maybe you could use a piecewise curve with a special interpolation that
decreases between points?

Luigi



--

Any software problem can be solved by adding another layer of
indirection.
-- Steven M. Bellovin



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Lapin]

Luigi,

I have added a new style of interpolation.
It seems to work fine for the moment.

Regards

Luigi Ballabio wrote

On Fri, 2007-11-02 at 08:52 -0700, Yomi wrote:
> I am trying to build a curve for the dividend yield.
> I would like to bootstrap the curve but I don't know which structure to use.
> A flat curve would not work fine since I expect the dividend yield to be
> maximum at the payment date, and then to decrease until the next one.

At this time, there's no term structure that behaves as you'd like.
Maybe you could use a piecewise curve with a special interpolation that
decreases between points?

Luigi



--

Any software problem can be solved by adding another layer of
indirection.
-- Steven M. Bellovin



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users