Re: European Discount from delivery

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/European-Discount-from-delivery-tp4426p4429.html

On 2/6/06, [hidden email] <[hidden email]> wrote:

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
 |------------------------------|---------|

Oh, I see. It's the delivery of the option, not of the underlying.
 

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.

No, you'll have to go for the dirty solution.

Later,
    Luigi