Create a model that simulates multiple equites in one currency.
Description
Create a model that simulates multiple equites in one currency. Assumes lognormal dynamics.
Example Sheet
EquityValuation.xlsx
Arguments
- objectName The name of the object to be created.
- discountCurve The discounting curve. Will be used for discounting and as the drift rate for the equities.
- shares Share codes. A list of strings to identify the shares. These need to match those used in the product that will be valued.(Share)
- spotPrices The values of all the shares on the anchor date of the discounting curve.
- volatilities A single volatility for each share.
- divYields A single continuous dividend yield rate for each equity.
- correlations 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 The floating rate forecast curves for all the rates that the products in the portfolio will need.