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 = )