Valuation models

Dividend swaps

Realized and expected dividends over a period against a fixed strike, from a list of expected dividends or a yield on the forward, with the implied yield, delta and PV01.

Inputs

CurrencySideQuantity (per point)SpotDividend yield%Period starts inyPeriod lengthyPaid afterdRealized so farStrike at fairStrikeDiscount curveDiscount curve: flat rate% cc

Results

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Methodology

Conventions

Pays the dividends going ex in the period against a fixed amount, on the payment date.
Expected dividends are as listed, or a continuous yield on the forward in monthly buckets.

References

Buehler (2010), Volatility and Dividends

Formulas

Expected: E[D] = D(realized) + Σ q F(uⱼ) Δuⱼ
Value: V = n (E[D] − K) D(T(pay))