Re: Simple Expiration Date Handling

Posted by Vangipuram, Satish on
URL: http://quantlib.414.s1.nabble.com/Simple-Expiration-Date-Handling-tp5105p5107.html

I have felt the same way about this issue. this would be a really useful feature imo.  Since the option expiration falls on the 3^rd Friday of each month it may be possible to determine this day without any hardcoding. Does anyone know of some logic like this.

 

I am eager to hear thoughts on this request.

 

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From: [hidden email] [mailto:[hidden email]] On Behalf Of David Brown
Sent: Wednesday, October 18, 2006 2:30 PM
To: [hidden email]
Subject: [Quantlib-users] Simple Expiration Date Handling

 

Hi-
   I've been browsing through the object hierarchy for a bit now and noticed that QuantLib has a great date handling system which handles internationalization and Holiday exceptions, but it appears to me that something is missing.  There does not appear to be a built-in provision to simply calculate the expiration dates of options.  The majority of options traded in the United States are traded on Exchanges with set expiration dates and an American Style expiry.  Lets say that I had a list of options.  Supposed all of these options have the same strike for simplicity.  Let us pretend that these are Exchange-style options, not OTC options.  How would one rapidly know how much time there is until the expiration date of these options?  I could write up a OO-proposal for this functionality, I supposed, but first wanted to check in to see if th is had been done yet?
   For instance:

Obj 1:   Oct 30 Calls   misc details
Obj 2:   Oct 30 Puts   misc details
Obj 3:   Nov 30 Puts   misc details
Obj 4:   Nov 35 Calls misc details

   Today is 10/18/06.  Days_To_Expiry = Obj1.DaysToExpiry               Now this is passable to the calculation engine.

Any thoughts?


David Brown