Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/BLS-IV-calculated-by-QuantLib-is-different-from-Hull-s-tp213p217.html
On Wed, 2010-09-08 at 20:37 -0400, Alex Cicco wrote:
> Sub-subject: Why Business252() is so expensive in calculating IV of
> equity.
That's because in order to calculate the number of business days between
two dates d1 and d2, it has to loop on every date from d1 to d2 and
check whether it's a business day. That's much more expensive than,
say, the actual/365 day counter, which calculates the number of days
between d1 and d2 simply as d2-d1.
Luigi
--
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