Posted by
Luigi Ballabio on
Jul 12, 2013; 3:10pm
URL: http://quantlib.414.s1.nabble.com/Use-of-Calendar-in-Pricing-Engines-tp14386p14441.html
Hi,
no, the finite-difference engine doesn't take holidays into
account. It just creates a uniform grid; if you tell it to create a
grid of 100 points, it will create them equally spaced (and at that
point, it will be using floating-rate number to represent time; it
will have lost sight of days).
As for intra-day, it depends. If you will specify enough points, it
will advance by a fraction of a day at each step. But the maturity can
only be specified as a day, without time information.
Luigi
On Tue, Jun 25, 2013 at 5:32 AM, Haoyun XU <
[hidden email]> wrote:
> Hi,
>
> I wonder if the trading calendar is used in the numerical pricing engines.
> For example, we want to price some equity barrier option with discrete
> dividends using finite difference method. In Black-Scholes constant
> volatility context, the stock price process goes on even in holidays &
> weekends. However, these non-tradings days are not eligible for barrier
> monitoring.
>
> Theoretically, in the finite difference grids, we may need to relax the
> barrier boundary condition during non-trading days. This also applies to
> early exercise & other features as well.
>
> For Monte Carlo simulation, these could be handled naturally. Just wonder
> whether QuantLib takes this into consideration in its implementation for
> finite difference methods.
>
> Also, I wonder if the pricing engine supports intra-day pricing, which takes
> into account a fraction of a day.
>
> Many Thanks!
>
> Best,
> Henry Xu
>
>
>
>
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