Posted by
David Palmer-2 on
URL: http://quantlib.414.s1.nabble.com/Simple-Expiration-Date-Handling-tp5105p5106.html
http://www.theocc.com/publications/xcal/xcal.jspGood starting place to understand expirations of various OCC cleared
products.
The actual expiration for US listed options is the third Friday,
regardless of whether there is a third Thursday. The date range is 15 to
21 for any given month.
"The Expiration day for equity options is the Saturday following the
third Friday of the month. Therefore, the third Friday of the month is
the last trading day for all expiring equity options"
The above is quoted from the OCC site. While we all know there is no
trading on Saturday, there is a reason for this language. When options
were first listed and before electronic trading of them, all out-trades
were resolved the next morning, therefore the validity of the contract
needed to be in force for the resolution of the out-trade.
It is a legacy rule since all trades here in the US now are expected to
settle prior to the close of business that Friday.
Dave
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Friday, October 20, 2006 12:19 PM
To: Ferdinando Ametrano
Cc: David Brown;
[hidden email]; Vangipuram,
Satish; David Palmer
Subject: Re: [Quantlib-users] Simple Expiration Date Handling
On Fri, 2006-10-20 at 18:12 +0200, Ferdinando Ametrano wrote:
> If the expiry day just rolls up to the next business day, what about:
> static Date fridayAfterThirdThursday(Calendar c, Month m, Year y) {
> Date thirdThursday = nthWeekday(3, Thursday, m, y);
> Date result = nextWeekday(thirdThursday, Friday);
> result = c.adjust(result, Following);
> }
>
> if this is what you are looking for I can add it to QuantLib.
Are you going to add a static method to Date for each country
convention? You better make it a separate function or class...
Luigi
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