Just to throw out some ideas for dealing with bitcoin derivatives.
Bitcoin has two unique features. The trading is continuous. The
expiry times are short, and all the numbers are quoted in days rather
than in years.
So:
1) I write some new classes that are just placeholders for time
stamps. To keep it simple, the simpletimestamp class will keep
everything in GMT, so we don't have to worry about time zone heck.
2) I write a new daycounter called "continuousdays" which will return
the number of *days* between two timestamps. It appears that if I use
that daycounter then everything will work.
The two issues I see are:
The method "yearFraction" ought really to be named "timeFraction"
Also, I'm trying to figure out how to prevent (or whether to prevent)
someone from mixing year and day valued functions.
------------------------------------------------------------------------------
Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server
from Actuate! Instantly Supercharge Your Business Reports and Dashboards
with Interactivity, Sharing, Native Excel Exports, App Integration & more
Get technology previously reserved for billion-dollar corporations, FREE
http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
