Re: European Discount from delivery
Posted by
Jason.Clarke on
URL: http://quantlib.414.s1.nabble.com/European-Discount-from-delivery-tp4426p4428.html
No, I was looking for something far
simpler than that;
I was looking to just discount the value
of the option from a later date (effectively applying a different discount),
as I only get the actual delivery of the option in let say 2 days after
the expiry. All other value stays constant as that's locked in at expiry.
Eg the following;
Eval
Exp
Delivery
|------------------------------|---------|
The obvious dirty solution would be
to mulitply this by the forward discount factor from my own curve. but
I was wondering if I had missed out on something and if this has been already
implemented in QL.
Thanks
Jason
On 1/25/06, Jason Clarke <[hidden email]>
wrote:
> Is there a way to discount a European option to allow for a lag between
> expiration of the option and actual delivery of the underlying settlement?
If I get it right, you mean that one will decide whether to exercise
and if so, the underlying will be delivered after a few days---during
which the price of the underlying could decrease resulting in a loss.
Is this correct?
No, there's no such possibility at this time. How would you go about
implementing it?
Luigi
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