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Re: Intra-day date representation ?

Posted by Klaus Spanderen-2 on Aug 06, 2014; 8:46pm
URL: http://quantlib.414.s1.nabble.com/Intra-day-date-representation-tp15688p15690.html

Hi Dirk,

 

not a day-dream, but I never brought it into a "patch" or close to it. I started off by replacing QuantLib::Date with boost::local_date_time (w/o taking backwards compatibility into considerations) and changed the DayCounters to also consider hours but I think there is no way doing this in a backwards compatible manner.

 

regards

Klaus

 

 

On Wednesday, August 06, 2014 01:40:24 PM Dirk Eddelbuettel wrote:

> 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

 


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