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

On Thu, Jul 14, 2016 at 6:32 PM georgiosd <[hidden email]> wrote:

Hi everyone,

Great job on quantlib! I was interested in calculating Greeks for some
options, intraday but saw this:
https://hpcquantlib.wordpress.com/2015/01/04/intraday-high-resolution-day-counters/

Is this still a relevant concern?

Thank you



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