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Re: Price a forward with continuous dividend?

Posted by Luigi Ballabio on Nov 13, 2015; 3:40pm
URL: http://quantlib.414.s1.nabble.com/Price-a-forward-with-continuous-dividend-tp16958p17067.html

I don't think so. You might try inheriting from the Forward class and overriding the calculation.

Luigi


On Fri, Oct 23, 2015 at 5:48 AM Ted Wong <[hidden email]> wrote:
Hi,

I am looking at the code in forward.cpp on how a forward can be priced with continuous dividend. The formula is like this:

Inline image 1

but the code is like this in forward.cpp:

Inline image 2

This formula is the discrete implementation. Can the simple continuous version be priced?

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