On Mon, 2011-01-24 at 11:50 -0500, édouard tallent wrote:
> in the example EquityOption.cpp , at
>
http://quantlib.org/reference/_equity_option_8cpp-example.html>
> i would like to clearly understand between settlementDate and
> maturity.
>
> is that a problem if one replaces the settlementDate argument by
> maturity everywhere in the boostrap part of the code (handle) if i
> stick to pricing a european style vanilla.
The settlement date is the date at which you discount your payoffs,
which might be today or spot depending on your desk's conventions.
The maturity date (which in the example is probably misnamed) is the
exercise date of the option. In the example, it is one year after the
settlement date.
You don't want to mix the two, so I'd suggest against replacing either
one with the other.
Luigi
--
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