QuantLib › quantlib-users

evaluation date time

Classic

List

Threaded

4 messages Options

Minjae David Kim

evaluation date time

Hello folks,

I have a simple usage question: how do I set the evaluation time (e.g. 1:30 pm)? I understand that evaluation date can be set by (in Python, and likewise in C++)

Settings.instance().evaluationDate = my_date # has no time-of-day information

I couldn't find a proper a way in Examples/EquityOption or in online documentations.

Best Regards,

Minjae

------------------------------------------------------------------------------
October Webinars: Code for Performance
Free Intel webinars can help you accelerate application performance.
Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from
the latest Intel processors and coprocessors. See abstracts and register >
http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

stephan buschmann

Re: evaluation date time

Hi,
just take a look here
http://quantlib.org/slides/dima-ql-intro-1.pdf
I will find all you need and more.
stephan

On Sun, Oct 13, 2013 at 9:21 AM, Minjae David Kim <[hidden email]> wrote:

> Hello folks,
>
> I have a simple usage question: how do I set the evaluation time (e.g. 1:30
> pm)? I understand that evaluation date can be set by (in Python, and
> likewise in C++)
>
> Settings.instance().evaluationDate = my_date # has no time-of-day
> information
>
> I couldn't find a proper a way in Examples/EquityOption or in online
> documentations.
>
> Best Regards,
> Minjae
>
> ------------------------------------------------------------------------------
> October Webinars: Code for Performance
> Free Intel webinars can help you accelerate application performance.
> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most
> from
> the latest Intel processors and coprocessors. See abstracts and register >
> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Peter Caspers-4

Re: evaluation date time

In reply to this post by Minjae David Kim

Minjae,

you might want to take a look here

http://quantlib.10058.n7.nabble.com/Option-Expiry-using-Date-and-time-intraday-decay-fractional-days-tt140.html#none

At the moment ql does not provide what you are looking for I guess.

Peter

On 13 October 2013 09:21, Minjae David Kim <[hidden email]> wrote:

Hello folks,

I have a simple usage question: how do I set the evaluation time (e.g. 1:30 pm)? I understand that evaluation date can be set by (in Python, and likewise in C++)

Settings.instance().evaluationDate = my_date # has no time-of-day information

I couldn't find a proper a way in Examples/EquityOption or in online documentations.

Best Regards,
Minjae

------------------------------------------------------------------------------
October Webinars: Code for Performance
Free Intel webinars can help you accelerate application performance.
Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from
the latest Intel processors and coprocessors. See abstracts and register >
http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Minjae David Kim

Re: evaluation date time

Hello Peter,

Thanks for the link. I was afraid that was the case -- ql does not support intraday accounting for evaluation date (and likewise for expiry date).

As for my workaround, I was hoping to expose some of the pricing engine's inner methods and go from there, but I am just exploring at this point.

Best Regards,

Minjae

On Sun, Oct 13, 2013 at 11:29 AM, Peter Caspers <[hidden email]> wrote:

Minjae,

you might want to take a look here

http://quantlib.10058.n7.nabble.com/Option-Expiry-using-Date-and-time-intraday-decay-fractional-days-tt140.html#none

At the moment ql does not provide what you are looking for I guess.

Peter

On 13 October 2013 09:21, Minjae David Kim <[hidden email]> wrote:

Hello folks,

I have a simple usage question: how do I set the evaluation time (e.g. 1:30 pm)? I understand that evaluation date can be set by (in Python, and likewise in C++)

Settings.instance().evaluationDate = my_date # has no time-of-day information

I couldn't find a proper a way in Examples/EquityOption or in online documentations.

Best Regards,
Minjae

------------------------------------------------------------------------------
October Webinars: Code for Performance
Free Intel webinars can help you accelerate application performance.
Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from
the latest Intel processors and coprocessors. See abstracts and register >
http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users