Re: Which YieldTermStructure to use for a dividend yield curve

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Which-YieldTermStructure-to-use-for-a-dividend-yield-curve-tp1533p1534.html

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



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