Create a model that simulates multiple equities in one currency.
Description
Create a model that simulates multiple equities in one currency. Assumes lognormal dynamics.
Example Sheet
EquityValuation.xlsx
Arguments
- objectName The name that this object will be assigned on the map. Should be unique.
- discountCurve (IDiscountingSource)The discounting curve. Will be used for discounting and as the drift rate for the equities.
- shares (Share[])Share codes. A list of strings to identify the shares. These need to match those used in the product that will be valued.
- spotPrices (Double[])The values of all the shares on the anchor date of the discounting curve.
- volatilities (Double[])A single volatility for each share.
- divYields (Double[])A single continuous dividend yield rate for each equity.
- correlations (Double[,])A square matrix of correlations between shares, the rows and columns must be in the same order as the shares were listed in shareCodes.
- rateForecastCurves *(IFloatingRateSource[])The floating rate forecast curves for all the rates that the products in the portfolio will need.(Default value = )