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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