6

You're not setting the global evaluation date. If you don't, you're in December 2017 and your option has expired a good while ago. Adding ql.Settings.instance().evaluationDate = valuation_date before the calculations will give you the expected results.


6

You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.) The present value of the dividend payment is: $PV(div) = P - C + (S - K) + K(e^{rT} - 1)$ where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is: $d = \frac{PV(div)}{...


4

I found that sometimes going back to the source gets me the farthest. Here is what you are probably looking for: http://www.finanzaonline.com/forum/attachments/econometria-e-modelli-di-trading-operativo/1390259d1298451714-qualche-idea-per-una-tesi-odd.pdf Discrete dividends that have not been declared yet need to be estimated. Estimating and updating ...


4

The derivation in the book appears wrong. However, the results make sense as the option price at time $t$ should not be impacted by prior dividend payments. It may be out-of topic, I would like to provide some justification of the Musiela-Rutkowski formula. Let $\{H_t \mid t >0\}$, where \begin{align*} H_t = \sum_{0 < T_i \leq t} q_i, \end{align*} ...


4

This equivalence can only be written for discrete proportional dividends. For discrete cash dividends the two spot diffusion models are too different for that relationship to be written in general form (since the div yield model guarantees strictly positive future equity prices, while using discrete cash dividends does not). More specifically, if you have $...


3

What do you mean by annotation date, there is a declaration(announcement) date, ex-date, record date but I've never heard of an annotation date. Dividends are not decided always at the fiscal year end, in some countries they are approved by the shareholders general meeting which can happen at any time during the year, some companies pay quarterly, others ...


1

You must convert all cash and dividend streams into the index points . The current value of the index between stocks seems ok but the dividends need to be converted to index points. Basically divide the dividends you’ve calculated by the index divisor. Then the calculation seems ok


1

One solution is to calculate the annual dividend yield implied by that. $Div_{yield}=\delta=1.5/40$ and then replace the $r$ on $d_+$ by $r-\delta$. A cleaner way would be to compute it using a binomial tree.


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