Intra-day date representation ?

Posted by Dirk Eddelbuettel on Aug 06, 2014; 6:40pm
URL: http://quantlib.414.s1.nabble.com/Intra-day-date-representation-tp15688.html


I just had yet another RQuantLib user contact me noticing that option values
do not adjust to small changes in time-to-maturity 't' -- which is correct.
While I take 't' as a float it eventually gets encoded as Boost Date and
becomes (day-based) fraction of a year.

Now, I seem to recall that Klaus, when he was in Chicago for R/Finance,
mentioned a hack or patch or extension which replaced Date with Datetime.

Did any of that ever migrate into the repo, or another place?  Or am I
day-dreaming here (which is always entirely possible ... ;-)  ?

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email]

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