new method implied dividend yield

[Xavier.Abulker]

Hello Quantlib Group,
I've added a new method into singleassetoption

this is a method impliedDivYield which returns the equivalent continuous
dividend yield for American options given the option Price and implied Vol.

example:

  Option Type: American Call
  Name: CAC40
  Underlying: 3897.37
  Strike: 3900
  Today 10/19/2001
  Maturity: 10/17/2002
  Risk free rate: 9.5253%
  The vector of dividends dates in fraction of year
  vector<Time> divdate;
  divdate.push_back(0.2);
  divdate.push_back(0.5);
  The array of dividends amount
  vector<double> divamount;
  divamount.push_back(150);
  divamount.push_back(600);
  Dividend Yield: 0%
  given Price from market : 456.16
  The implied vol deduced from quantlib is 0.417226

  I input this option into a new American Option in Quantlib

  Option Type: American Call
  Name: CAC40
  Underlying: 3897.37
  Strike: 3900
  Maturity: 10/17/2002
  Risk free rate: 9.5253%
  Implied vol : 0.417226
  Dividend Yield: 20.3248%
  Price deduced is 456.149

  I find this amount calling:

double volatility = 0.417226; // dummy volatility won't be used
Rate riskFreeRate = 0.095253; // 9.5 % risk free rate, possibel
enhancement: to be specified by Option

FdAmericanOption Ameroptioniv(Option::Call,
                                     3897.37,3900,
                                0.203262,0.095253
                                0.994521,
                                volatility,365,300);
           std::cout<<"Option value  "<<Ameroptioniv.value()<<std::endl;

            std::cout<< " ** Implied Yield is: "
           << Ameroptioniv.impliedDivYield(456.16)<<std::endl;

I use this method because many major commercial reporting tools only work
with continous dividend yield and not with discrete dividend yield.
Could you please add this new method into the Core Quantlib?

Thanks

Xavier

(See attached file: singleassetoption.cpp)(See attached file:
singleassetoption.hpp)

[Luigi Ballabio-2]

At 10:38 AM 7/22/02 +0200, [hidden email] wrote:
>Hello Quantlib Group,
>I've added a new method into singleassetoption
>I use this method because many major commercial reporting tools only work
>with continous dividend yield and not with discrete dividend yield.
>Could you please add this new method into the Core Quantlib?

I just added it to CVS. You might want to check that it works as expected.

Bye,
         Luigi