Re: Simple Expiration Date Handling

Posted by David Brown-27 on
URL: http://quantlib.414.s1.nabble.com/Simple-Expiration-Date-Handling-tp5105p5115.html

Perhaps it would be nice to see this incorporated into the Actual Date Handling model.  Perhaps more research is necessary to know the option expiry standards on different exchanges throughout the world, but I feel it would be well worth the effort in the end.  QL needs to move towards rapid Portfolio Management of many objects and this would be a necessary step.


DB

On 10/18/06, David Palmer <[hidden email]> wrote:

I and another fellow have written the code to figure out which day is valid.

 

The issue is of course that you also have to know the valid holidays for each year.

 

Then you need to be able to do this for other locales.

 

I would be happy to pass along the code, so the logic could be extracted.

 

Dave

 

-----Original Message-----
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

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