To: dxPrice subscribers

We are pleased to announce an update to the dividend yield and the interest rate publication format. To improve readability, we will now publish annualized continuously compounded rates instead of simple rates.

Technical details

Currently, dxPrice calculates and publishes simple dividend return and simple risk-free interest return. The calculations are performed for both European and American-style put and call options.

Simple dividend return and interest return are related to the annualized continuously compounded dividend yield q and the annualized continuously compounded interest rate r via the following formulae:

Q(τ)=e^qτ – 1

R(τ)=e^rτ – 1,

where

• Q(τ) is the simple dividend return during the duration  of the option
• R(τ) is the simple interest (risk-free) return during the duration  of the option
• τ is the duration of the option represented in fractions of a year
• q is the annualized continuously compounded dividend yield
• r is the annualized continuously compounded interest rate.

As a response to our clients’ preferences, we are switching to publishing annualized continuously compounded rates instead of simple rates. This change aims to reduce the need for additional conversions on the clients’ side.

More information about the mathematics behind q and r can be found here.

The rates will be published in the TheoPrice event as before.

Effective date

New logic will be rolled out on December 10, 2023. No actions are required from the clients.

Please refer to dxFeed Help Desk if you have any questions or concerns.