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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
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