European call option

[Svenson John]

Hello,
        I am new to QuantLib and have a Question. When I try to price a European
Call option I have to choice for time to maturity and risk free rate. Now do
these input variables change from country to country? Different Countries
have different calendars for interest rates (maybe I am wrong) and this
should affect the price, right? Also the time to maturity, is there an easy
way to determine that in a fraction off a year when I have two dates?



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[Ferdinando M. Ametrano-2]

Hi John

>When I try to price a European Call option I have to choice for time to
>maturity and risk free rate. Now do these input variables change from
>country to country?
The risk free rate change from country to country. The time to maturity
depends only on the contract details of the specific option considered

>  Different Countries have different calendars for interest rates (maybe I
> am wrong) and this should affect the price, right?
Different countries have different calendars, but this does affect the
price very slightly. Mainly for the (possible) requirement that the option
exercise date must be a working day

>  Also the time to maturity, is there an easy way to determine that in a
> fraction off a year when I have two dates?
There are many different ways, depending on the convention used for the
interest rate and the volatility

>         I am new to QuantLib and have a Question.
You're probably new to option pricing tout-court, and I would suggest you
to read some introductory book. See http://quantlib.org/books.html

hope it helps


------------
ciao -- Nando

[Jens Thiel]

John,

have a look here:

  C++ http://www.quantlib.org/html/datetime.html
  C#  http://www.quantlib.org/MSDN/Stochastix.Business.html


Jens.

> -----Ursprüngliche Nachricht-----
> Von: [hidden email]
> [mailto:[hidden email]]Im Auftrag von
> Svenson John
> Gesendet: Montag, 17. Februar 2003 12:48
> An: [hidden email]
> Betreff: [Quantlib-users] European call option
>
>
> Hello,
> I am new to QuantLib and have a Question. When I try to
> price a European
> Call option I have to choice for time to maturity and risk free
> rate. Now do
> these input variables change from country to country? Different Countries
> have different calendars for interest rates (maybe I am wrong) and this
> should affect the price, right? Also the time to maturity, is
> there an easy
> way to determine that in a fraction off a year when I have two dates?
>
>
>
> _________________________________________________________________
> Worried what your kids see online? Protect them better with MSN 8
> http://join.msn.com/?page=features/parental&pgmarket=en-gb&XAPID=1
> 86&DI=1059
>
>
>
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[Marco Marchioro-2]

Dear QuantLibers,

I believe the QuantLib afternoon we had in Milan a few months ago proved to
be a great success as it provided fellow QuantLibers an opportunity to meet
and discuss the future of QuantLib.

Unfortunately, many of you were not present because of the location.  I will
be in New York City in the beginning of March(2003) and would like to repeat
the experience with the Quantlibers in the tri-state area(or beyond) who
are willing.

I am available from the 3rd to the 12th of March, weekdays. We could meet
over beer (or coffee) somewhere sometime in the city.

Is anybody interested?

[hidden email]

[Marco Marchioro-2]

Dear QuantLibers,

The QuantLib meeting will be held Thursday the 6th of March, 2003.
at the Hotel-W Lounge Bar, in Midtown

541 Lexington Avenue
Between 49th and 50th Streets
New York City, New York 10022
United States. Tel:  [phone]

I'll be there at 5:30pm and stay there at least until 7:30pm.

Anybody interested is welcome to show up.

See you there,
                 Marco Marchioro.


At 06:02 PM 2/17/03 +0100, Marco Marchioro wrote:

>Dear QuantLibers,
>
>I believe the QuantLib afternoon we had in Milan a few months ago proved to
>be a great success as it provided fellow QuantLibers an opportunity to meet
>and discuss the future of QuantLib.
>
>Unfortunately, many of you were not present because of the location.  I will
>be in New York City in the beginning of March(2003) and would like to repeat
>the experience with the Quantlibers in the tri-state area(or beyond) who
>are willing.
>
>I am available from the 3rd to the 12th of March, weekdays. We could meet
>over beer (or coffee) somewhere sometime in the city.
>
>Is anybody interested?
>
>[hidden email]
>