European Discount from delivery

[Jason Clarke]

Hi,
Is there a way to discount a European option to allow for a lag between
expiration of the option and actual delivery of the underlying settlement.
Ie AnalyticEuropeanEngineinstance.NPV() returns the NPV of the option from
the exercise date to today. Is there a to get a .NPV() of the value of the
option + a lag?

Can I get a hold of the Forward value of the option?

Regards
Jason.

[Luigi Ballabio]

On 1/25/06, Jason Clarke <[hidden email]> wrote:
> Is there a way to discount a European option to allow for a lag between
> expiration of the option and actual delivery of the underlying settlement?

If I get it right, you mean that one will decide whether to exercise
and if so, the underlying will be delivered after a few days---during
which the price of the underlying could decrease resulting in a loss.
Is this correct?
No, there's no such possibility at this time. How would you go about
implementing it?

Luigi

[Jason.Clarke]

No, I was looking for something far simpler than that;
I was looking to just discount the value of the option from a later date (effectively applying a different discount), as I only get the actual delivery of the option in let say 2 days after the expiry. All other value stays constant as that's locked in at expiry. Eg the following;
Eval                             Exp    Delivery
 |------------------------------|---------|


The obvious dirty solution would be to mulitply this by the forward discount factor from my own curve. but I was wondering if I had missed out on something and if this has been already implemented in QL.

Thanks

Jason


 

Luigi Ballabio <[hidden email]>
Sent by: [hidden email]

02/02/2006 16:28

To	Jason Clarke <[hidden email]>
cc	[hidden email]
Subject	Re: [Quantlib-users] European Discount from delivery

On 1/25/06, Jason Clarke <[hidden email]> wrote:
> Is there a way to discount a European option to allow for a lag between
> expiration of the option and actual delivery of the underlying settlement?

If I get it right, you mean that one will decide whether to exercise
and if so, the underlying will be delivered after a few days---during
which the price of the underlying could decrease resulting in a loss.
Is this correct?
No, there's no such possibility at this time. How would you go about
implementing it?

Luigi


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[Luigi Ballabio]

On 2/6/06, [hidden email] <[hidden email]> wrote:

No, I was looking for something far simpler than that;
I was looking to just discount the value of the option from a later date (effectively applying a different discount), as I only get the actual delivery of the option in let say 2 days after the expiry. All other value stays constant as that's locked in at expiry. Eg the following;
Eval                             Exp    Delivery
 |------------------------------|---------|

Oh, I see. It's the delivery of the option, not of the underlying.
 

The obvious dirty solution would be to mulitply this by the forward discount factor from my own curve. but I was wondering if I had missed out on something and if this has been already implemented in QL.

No, you'll have to go for the dirty solution.

Later,
    Luigi