Hello,
I am trying to price an option where the underlying is S&P 500 index. I get a feed of volatility surface from a reputable vendor and in addition to strikes and Black vols, they also provide a “DividendYieldPercent” for each of the maturity
dates in the feed. I have played with building BlackVarianceSurface in Quantlib and NPV of the option is somewhat off from the vendor’s own calculation. I suspect that the difference is due to me not using the future “estimated” dividends that they provide.
Question is I am not sure how to build this future dividend curve in Quantlib. I see examples of using ex-dividend date/yield. I am assuming I need to build some kind of dividend term structure and pass it off to my BS process.
Any suggestions are highly appreciated.
Thanks.
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