Re: evaluation date time

Posted by Minjae David Kim on
URL: http://quantlib.414.s1.nabble.com/evaluation-date-time-tp14582p14585.html

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

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