Re: Simple Expiration Date Handling

Posted by David Brown-27 on
URL: http://quantlib.414.s1.nabble.com/Simple-Expiration-Date-Handling-tp5105p5110.html

The rule isn't the third friday.  The rule is the third friday after the third thursday.  its a subtle but very important difference.  Therefore, there is a 1/7 chance that it could be the fourth friday.  Get what I'm saying?

DB

On 10/19/06, David Palmer <[hidden email]> wrote:

All that needs to be done is check for holidays. The CBOT has a different set of rules for their financial products than does the US equity single stock world. In addition there are some indices that expire at the open on Friday i.e. NDX whereby the Friday expiration and settlement is actually untradable. So when vauling the derivative, while you are getting Friday, you are getting Friday and 8:30 AM CST / 9:30 AM EST as opposed to 3:00 CST / 4:00 EST.

In the event that the Friday is a holiday the Thursday is used. This is for single stock options.

Dave

________________________________

From: [hidden email] on behalf of Ferdinando Ametrano
Sent: Thu 10/19/2006 4:57 AM
To: Vangipuram, Satish
Cc: [hidden email]
Subject: Re: [Quantlib-users] Simple Expiration Date Handling



Hi all

> Since the option expiration falls on the 3rd Friday of each
> month it may be possible to determine this day without any hardcoding.

the function
static Date nthWeekday(Size n, Weekday, Month m, Year y);
is already available, and could be used as in e.g.
nthWeekday(3, Friday, Octrober, 2006)
to get the option expiry for this month.

Is there more than this in your proposals?

You might also want to look at
static Date IMMdate(const std::string& IMMcode, const Date&
referenceDate = Date());
for an example about how to go from "Z6" -> 20-Dec-2006

ciao -- Nando

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