[Ffts-develop] New release

[Mark H. <mgh...@ya...>]

I've put out a new release of the FFTS (v0.6).

There are a bunch of little changes, but the main change is the
way that equity options handle dividend yields.

Before this release, the dividend yield for a stock was saved on
the stock price object, and assumed constant across tenors.

With this release, the dividend yields for the different option
expiration dates are backed out from the closest-to-ATM option
prices - it looks at the value of (call - put), which is a
monotonic function of dividend yield even for American options.

Really, to do it even more correctly, it should account for the
*discrete* dividend payments, rather than assuming a continuous
yield. This would be better for risk management, but it's more
complex, and it's not clear how to apply the Baron-Adesi and
Whaley approximation with continuous dividends. Something to
think about, though. 

I'm also pushing the current cvs tree out to the sourceforge
site (https://sourceforge.net/cvs/?group_id=9699). It should be
there within a couple days (the current stuff there is pretty
old). The new cvs tree contains a bunch of stuff that's new
after v0.6, including some fixes to the evaluation graph.


=====
-------------------------------------------------------
Mark Higgins, mgh...@ya...
http://www.molala.net

Opinions expressed herein do not reflect my own views;
I haven't had free will since last year when aliens ate
my brain.

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