Time less than a day

[omar b-2]

How do a deal with time in increments less than one day.  For example,
how do I compute a vanilla european call with time left to expiration
of .5 days.

Thanks,
Omar

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[Luigi Ballabio]

On Sat, 2006-10-14 at 15:03 -0700, Omar B wrote:
> How do a deal with time in increments less than one day.  For example,
> how do I compute a vanilla european call with time left to expiration
> of .5 days.

Omar,
        at this time, date objects don't have such resolution---they should be
augmented with a time field, but we still don't have a clear idea about
how to do it.  For the time being, you'll have to use the BlackFormula
class; however, this will force you to perform some of the calculations
yourself (e.g., you'll have to calculate the forward value and variance
of the underlying.)

Later,
        Luigi


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