Theoretical calculation with T=0.1

[Stephen Tse-2]

Hi all,

  I'm calculating theoretical option prices under the Heston model. How can I get around the day counting to specify a maturity of exactly 0.1 year?

Thanks,
Stephen

--
Stephen Tse
http://www.cs.uwaterloo.ca/~sttse/

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[David Klein-9]

>  I'm calculating theoretical option prices under the Heston model. How can I get around the day counting to specify a maturity of exactly 0.1 year?

 

I am not really familiar with quantlib, but here is a suggestion that might work: Set the daycount to ACT/360 and use a maturity of 36 days.

 

	David Klein Senior Quantitative Analyst T. [phone] F. [phone] M.+972 54 589 0333 E. [hidden email] www.sdgm.com

 

 

 

 

 

 

 

 

 

 

 

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[Kakhkhor Abdijalilov]

I use NullCalendar and ActualActual day counter to do theoretical
calculations. I think 36 days to maturity  would make T=0.1 years. Try
it with NullCalendar::advance and ActualActual::yearFraction. But I
don't know how to make something like T=0.111. Does anyone know?

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