BlackConstVol & Calendar

[John Orford]

Hey Guys,

Just wondering why Calendar is required for BlackConstVol but not for FlatForward?

Perhaps there's a very good reason, but I couldn't come up with any : )

John

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[Peter Caspers-4]

Hey John,

I think one reason is that we have an optionDateFromTenor()
method in VolatilityTermStructure.

Peter

On 5 April 2014 08:28, John Orford <[hidden email]> wrote:

> Hey Guys,
>
> Just wondering why Calendar is required for BlackConstVol but not for
> FlatForward?
>
> Perhaps there's a very good reason, but I couldn't come up with any : )
>
> John
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[Luigi Ballabio]

Hello,

    yes, I seem to remember that's the reason. I'm no longer sure it's a good one...

Luigi

On Sat, Apr 5, 2014 at 12:28 PM, Peter Caspers <[hidden email]> wrote:

Hey John,

I think one reason is that we have an optionDateFromTenor()
method in VolatilityTermStructure.

Peter

On 5 April 2014 08:28, John Orford <[hidden email]> wrote:
> Hey Guys,
>
> Just wondering why Calendar is required for BlackConstVol but not for
> FlatForward?
>
> Perhaps there's a very good reason, but I couldn't come up with any : )
>
> John
>

> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[John Orford]

Appreciate the feedback guys.

On 9 April 2014 22:24, Luigi Ballabio <[hidden email]> wrote:

Hello,

    yes, I seem to remember that's the reason. I'm no longer sure it's a good one...

Luigi

On Sat, Apr 5, 2014 at 12:28 PM, Peter Caspers <[hidden email]> wrote:

Hey John,

I think one reason is that we have an optionDateFromTenor()
method in VolatilityTermStructure.

Peter

On 5 April 2014 08:28, John Orford <[hidden email]> wrote:
> Hey Guys,
>
> Just wondering why Calendar is required for BlackConstVol but not for
> FlatForward?
>
> Perhaps there's a very good reason, but I couldn't come up with any : )
>
> John
>

> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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