Re: Is intraday calculation of Greeks still a problem?
Posted by
Luigi Ballabio on
Jul 15, 2016; 7:47am
URL: http://quantlib.414.s1.nabble.com/Is-intraday-calculation-of-Greeks-still-a-problem-tp17598p17601.html
Hello,
Klaus' changes were added to the main library a couple of releases ago, but they're not enabled by default. To enable intra-day pricing, execute
./configure --enable-intraday
if you're on Linux or Mac Os X, or open <ql/userconfig.hpp> and uncomment the line
//# define QL_HIGH_RESOLUTION_DATE
if you're on Windows.
Luigi
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