RE: FdDividendAmericanOption doesn't like zero t ime to dividend

Posted by Vadim Ogranovich-3 on
URL: http://quantlib.414.s1.nabble.com/RE-FdDividendAmericanOption-doesn-t-like-zero-t-ime-to-dividend-tp2179.html

> Hi Vadim,
>          note that the vector dividendTimeA should contain
> the ex-dividend
> dates.
> If the dividend will be paid today the ex-dividend date is tomorrow,
> hence cannot be 0.0(should be a positive small number).

Hi Marco,

Thank you for the reply.

Do you mean something like dividentTime=1e-6*timeToExpiration or,
alternatively, dividentTime=1/365, the latter means one day past today?
If the former than, IMHO, this is how FdDividendAmericanOption should treat
zero dividendTime. If the latter than I'll probably go and argue that it's
plain wrong.

Thanks, Vadim

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