Hello,
for each date and strike, a BlackConstantVol instance will return
the same vol you passed as input; where the day counter comes into
account is in the calculation of the variance. The variance at date d
will be vol*vol*T, with T given by the day counter you passed. In
your case, T will be the number of business days between today's date
and the passed date divided by 252. Is this what you meant?
Luigi
On Tue, Sep 18, 2012 at 12:19 PM, aimz <
[hidden email]> wrote:
>
> I want to understand clearly how business day vol is meant to be treated in a
> BlackConstantVol.
>
> Assuming I am using a vol defined as a business day vol, is it correct to
> use the BlackVolTermStructure below as a volhandle for a BlackScholes
> process?
>
> BlackVolTermStructureHandle volHandle = new BlackVolTermStructureHandle(new
> BlackConstantVol( evalDate, calendar, vol, new Business252()));
>
> My understanding is that the construct above will effectively transfor the
> business day vol into a calendar day vol, using the calendar, before passing
> it to the BlackScholes process.
>
> At the moment I am seeing some differences so just want to confirm.
>
> Rgds
> --
> View this message in context:
http://old.nabble.com/Volatility-tratment-business-vs-calendar-day-tp34446656p34446656.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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