FdDividendAmericanOption doesn't like zero time to dividend

Posted by Vadim Ogranovich-3 on
URL: http://quantlib.414.s1.nabble.com/FdDividendAmericanOption-doesn-t-like-zero-time-to-dividend-tp2177.html

Hi,

FdDividendAmericanOption::value() fails, and here is the error message:
QuantLib::Error::Error: A value must be supplied for this type of boundary
condition at:../../ql/FiniteDifferences/boundarycondition.hpp:56,
if the dividendTime is zero.

Could someone please suggest a simple work around? Note that it wouldn't
suffice to simply remove the dividend and adjust the price by its amount
since the the option might need to be exercised that day.
For example I can add some small number to the time, but I am concerned that
this will effectively push the dividend to the next time step. Is this a
valid concern?

Thanks, Vadim

P.S> Here is how to reproduce the error

#include <ql/quantlib.hpp>

using namespace std;
using namespace QuantLib;
using namespace QuantLib::Pricers;

int main() {
  const unsigned timeSteps = 20;
  const unsigned assetSteps = 20;

  vector<double> dividendA, dividendTimeA;
  dividendA.push_back(0.125);
  dividendTimeA.push_back(0); // this is the crux

  double under=40.25;
  double strike=35;
  double dividendYield=0;
  double interestRate=0.05;
  double expirationTime=0.1;
  double sigma=0.25;


  FdDividendAmericanOption opt(Option::Call, under,
                               strike,
                               dividendYield, interestRate,
                               expirationTime, sigma,
                               dividendA, dividendTimeA,
                               timeSteps, assetSteps);


  double x = opt.value();

  return 0;
}

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