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Is intraday calculation of Greeks still a problem?

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georgiosd

Is intraday calculation of Greeks still a problem?

Hi everyone,

Great job on quantlib! I was interested in calculating Greeks for some options, intraday but saw this: https://hpcquantlib.wordpress.com/2015/01/04/intraday-high-resolution-day-counters/

Is this still a relevant concern?

Thank you

Luigi Ballabio

Re: Is intraday calculation of Greeks still a problem?

Hello,

Klaus' changes were added to the main library a couple of releases ago, but they're not enabled by default. To enable intra-day pricing, execute

./configure --enable-intraday

if you're on Linux or Mac Os X, or open <ql/userconfig.hpp> and uncomment the line

//# define QL_HIGH_RESOLUTION_DATE

if you're on Windows.

Luigi

On Thu, Jul 14, 2016 at 6:32 PM georgiosd <[hidden email]> wrote:

Hi everyone,

Great job on quantlib! I was interested in calculating Greeks for some
options, intraday but saw this:
https://hpcquantlib.wordpress.com/2015/01/04/intraday-high-resolution-day-counters/

Is this still a relevant concern?

Thank you

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georgiosd

Re: Is intraday calculation of Greeks still a problem?

That's fantastic! Are there any side-effects I should be aware of?
I mean, why isn't this enabled by default? Because it breaks backward compatibility?

Luigi Ballabio

Re: Is intraday calculation of Greeks still a problem?

Hi,

apologies for the delay. The side effect was some loss of performance (about 5-10% if I recall correctly).

Luigi

On Fri, Jul 15, 2016 at 11:00 AM georgiosd <[hidden email]> wrote:

That's fantastic! Are there any side-effects I should be aware of?
I mean, why isn't this enabled by default? Because it breaks backward
compatibility?

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View this message in context: http://quantlib.10058.n7.nabble.com/Is-intraday-calculation-of-Greeks-still-a-problem-tp17598p17602.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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patterns at an interface-level. Reveals which users, apps, and protocols are
consuming the most bandwidth. Provides multi-vendor support for NetFlow,
J-Flow, sFlow and other flows. Make informed decisions using capacity planning
reports.http://sdm.link/zohodev2dev
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