Re: Correct classes for options on commodity futures?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Correct-classes-for-options-on-commodity-futures-tp4612p4615.html

On 03/17/2006 05:21:36 PM, Ken Anderson wrote:
> Right now I'm doing this:
>
> FlatForward flatDividentTS = new FlatForward(todaysDate, 0.0,  
> fixed365);
>
> Should I make it the same as the risk free rate?  So like 4.5% right  
> now?

Based on Haug, p. 7, I would think so.

Luigi


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