MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
370 stars 43 forks source link

StickySpot dynamic #26

Open MarcusRainbow opened 6 years ago

MarcusRainbow commented 6 years ago

What it does now is to just leave spot alone. It ought to make spot drop by the amount of any dividends going ex (or use the ex-from date to drop dividends -- it would be interesting to investigate this alternative)