Re: BLS IV calculated by QuantLib is different from Hull's

Posted by Alex Cicco on
URL: http://quantlib.414.s1.nabble.com/BLS-IV-calculated-by-QuantLib-is-different-from-Hull-s-tp213p218.html

Luigi,

Thanks for the clarification.  I strat data into different dates. 
For each day, I only create one Business252 day counter.  It looks that I worked around the problem :)

Best regards,

Alex

On Fri, Sep 10, 2010 at 10:50 AM, Luigi Ballabio <[hidden email]> wrote:

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


--

So little done, so much to do.
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