VanillaOption valuation on maturity date
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My current observation is that on maturity date a VanillaOption is reported as having a NPV value of 0(zero) regardless of whether it is in the money or out of the money.
The expectation is for NPV to be intrinsic value at least. Please confirm if my observation is the intended behavior in QuantLib or whether it is more likely a mistake on my side. The test I ran was very simple so I did not expect blatant errors. Regards |
Re: VanillaOption valuation on maturity date
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That's the intended behavior. The option is considered to have
expired (you can check it by calling its isExpired() method), so the value is 0. Luigi On Thu, Oct 11, 2012 at 7:56 AM, aimz <[hidden email]> wrote: > > My current observation is that on maturity date a VanillaOption is reported > as having a NPV value of 0(zero) regardless of whether it is in the money or > out of the money. > > The expectation is for NPV to be intrinsic value at least. > > Please confirm if my observation is the intended behavior in QuantLib or > whether it is more likely a mistake on my side. The test I ran was very > simple so I did not expect blatant errors. > > Regards > -- > View this message in context: http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp34540708p34540708.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------------ > Don't let slow site performance ruin your business. Deploy New Relic APM > Deploy New Relic app performance management and know exactly > what is happening inside your Ruby, Python, PHP, Java, and .NET app > Try New Relic at no cost today and get our sweet Data Nerd shirt too! > http://p.sf.net/sfu/newrelic-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Don't let slow site performance ruin your business. Deploy New Relic APM Deploy New Relic app performance management and know exactly what is happening inside your Ruby, Python, PHP, Java, and .NET app Try New Relic at no cost today and get our sweet Data Nerd shirt too! http://p.sf.net/sfu/newrelic-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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May be worth considering that, at least in some of the systems I use, on expiration date an option trades at intrinsic value.
This aspect is indeed somewhat academic. But there is also a practical aspect because while expiration as an attribute is a day, on some markets expiry occurs at end of day while on others next morning. At least in Asia. Rgds
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Re: VanillaOption valuation on maturity date
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I think that QuantLib - like many valuation libraries - works on an End
Of Day basis, so that any options would have expired by then and should have been transformed (within the calling IT system) into cash or physical. Changing QuantLib to support intra-day valuations would be rather difficult - yieldcurves usually need to work on a whole-day basis (as depos of less than one day are very scarce) but volatility->variance calculations would work on a continuous time basis (or during trading hours). I don't think anyone has even compiled all the changes required, never mind considered implementing them. Luigi - is there anywhere that such a list of changes would sit? Or similar requirement gathering for a complicated project? Simon -----Original Message----- From: aimz [mailto:[hidden email]] Sent: 15 October 2012 14:26 To: [hidden email] Subject: Re: [Quantlib-users] VanillaOption valuation on maturity date May be worth considering that, at least in some of the systems I use, on expiration date an option trades at intrinsic value. This aspect is indeed somewhat academic. But there is also a practical aspect because while expiration as an attribute is a day, on some markets expiry occurs at end of day while on others next morning. At least in Asia. Rgds Luigi Ballabio wrote: > > That's the intended behavior. The option is considered to have > expired (you can check it by calling its isExpired() method), so the > value is 0. > > Luigi > > > On Thu, Oct 11, 2012 at 7:56 AM, aimz <[hidden email]> wrote: >> >> My current observation is that on maturity date a VanillaOption is >> reported >> as having a NPV value of 0(zero) regardless of whether it is in the money >> or >> out of the money. >> >> The expectation is for NPV to be intrinsic value at least. >> >> Please confirm if my observation is the intended behavior in QuantLib or >> whether it is more likely a mistake on my side. The test I ran was very >> simple so I did not expect blatant errors. >> >> Regards >> -- >> View this message in context: >> http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070 8p34540708.html >> Sent from the quantlib-users mailing list archive at Nabble.com. >> >> >> ------------------------------------------------------------------------ ------ >> Don't let slow site performance ruin your business. Deploy New Relic APM >> Deploy New Relic app performance management and know exactly >> what is happening inside your Ruby, Python, PHP, Java, and .NET app >> Try New Relic at no cost today and get our sweet Data Nerd shirt too! >> http://p.sf.net/sfu/newrelic-dev2dev >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > ------ > Don't let slow site performance ruin your business. Deploy New Relic APM > Deploy New Relic app performance management and know exactly > what is happening inside your Ruby, Python, PHP, Java, and .NET app > Try New Relic at no cost today and get our sweet Data Nerd shirt too! > http://p.sf.net/sfu/newrelic-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > -- View this message in context: http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070 8p34558174.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------ ------ Don't let slow site performance ruin your business. Deploy New Relic APM Deploy New Relic app performance management and know exactly what is happening inside your Ruby, Python, PHP, Java, and .NET app Try New Relic at no cost today and get our sweet Data Nerd shirt too! http://p.sf.net/sfu/newrelic-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** ------------------------------------------------------------------------------ Don't let slow site performance ruin your business. 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Re: VanillaOption valuation on maturity date
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Hi,
I don't think we have a list of changes for that. At the very least, we should extend the Date class to include time-of-day information. The several small changes in behavior (option expiration, curve interpolation...) would be scattered all over the place. Luigi On Mon, Oct 15, 2012 at 3:43 PM, Simon Ibbotson <[hidden email]> wrote: > I think that QuantLib - like many valuation libraries - works on an End > Of Day basis, so that any options would have expired by then and should > have been transformed (within the calling IT system) into cash or > physical. > > Changing QuantLib to support intra-day valuations would be rather > difficult - yieldcurves usually need to work on a whole-day basis (as > depos of less than one day are very scarce) but volatility->variance > calculations would work on a continuous time basis (or during trading > hours). > > I don't think anyone has even compiled all the changes required, never > mind considered implementing them. > > Luigi - is there anywhere that such a list of changes would sit? Or > similar requirement gathering for a complicated project? > > Simon > > > -----Original Message----- > From: aimz [mailto:[hidden email]] > Sent: 15 October 2012 14:26 > To: [hidden email] > Subject: Re: [Quantlib-users] VanillaOption valuation on maturity date > > > May be worth considering that, at least in some of the systems I use, on > expiration date an option trades at intrinsic value. > This aspect is indeed somewhat academic. > But there is also a practical aspect because while expiration as an > attribute is a day, on some markets expiry occurs at end of day while on > others next morning. At least in Asia. > > Rgds > > > Luigi Ballabio wrote: >> >> That's the intended behavior. The option is considered to have >> expired (you can check it by calling its isExpired() method), so the >> value is 0. >> >> Luigi >> >> >> On Thu, Oct 11, 2012 at 7:56 AM, aimz <[hidden email]> > wrote: >>> >>> My current observation is that on maturity date a VanillaOption is >>> reported >>> as having a NPV value of 0(zero) regardless of whether it is in the > money >>> or >>> out of the money. >>> >>> The expectation is for NPV to be intrinsic value at least. >>> >>> Please confirm if my observation is the intended behavior in QuantLib > or >>> whether it is more likely a mistake on my side. The test I ran was > very >>> simple so I did not expect blatant errors. >>> >>> Regards >>> -- >>> View this message in context: >>> > http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070 > 8p34540708.html >>> Sent from the quantlib-users mailing list archive at Nabble.com. >>> >>> >>> > ------------------------------------------------------------------------ > ------ >>> Don't let slow site performance ruin your business. Deploy New Relic > APM >>> Deploy New Relic app performance management and know exactly >>> what is happening inside your Ruby, Python, PHP, Java, and .NET app >>> Try New Relic at no cost today and get our sweet Data Nerd shirt too! >>> http://p.sf.net/sfu/newrelic-dev2dev >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> > ------------------------------------------------------------------------ > ------ >> Don't let slow site performance ruin your business. Deploy New Relic > APM >> Deploy New Relic app performance management and know exactly >> what is happening inside your Ruby, Python, PHP, Java, and .NET app >> Try New Relic at no cost today and get our sweet Data Nerd shirt too! >> http://p.sf.net/sfu/newrelic-dev2dev >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> > > -- > View this message in context: > http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070 > 8p34558174.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------ > ------ > Don't let slow site performance ruin your business. Deploy New Relic APM > Deploy New Relic app performance management and know exactly > what is happening inside your Ruby, Python, PHP, Java, and .NET app > Try New Relic at no cost today and get our sweet Data Nerd shirt too! > http://p.sf.net/sfu/newrelic-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. > > The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. > This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from > > The Financial Services Authority (FSA) > 25 The North Colonnade, > Canary Wharf, > London > E14 5HS > United Kingdom > > Registered as a Limited Company in England and Wales No.1920623. > Registered Office as above > > Switchboard: 020 7066 1000 > Web Site: http://www.fsa.gov.uk > ***************************************************************** > > > ------------------------------------------------------------------------------ > Don't let slow site performance ruin your business. Deploy New Relic APM > Deploy New Relic app performance management and know exactly > what is happening inside your Ruby, Python, PHP, Java, and .NET app > Try New Relic at no cost today and get our sweet Data Nerd shirt too! > http://p.sf.net/sfu/newrelic-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_sfd2d_oct _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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