Re: Time to maturity less than a day

Posted by Bo Zhou on Apr 07, 2009; 11:19am
URL: http://quantlib.414.s1.nabble.com/Time-to-maturity-less-than-a-day-tp7395p7396.html

Thanks Luigi,

Is this on the todo list? Any time frame? If not how do I request this
feature?

On the other hand, is Theta usually big enough to make significant
intraday difference at all?

Cheers,

Bo

Luigi Ballabio wrote:
> On Mon, 2009-04-06 at 18:54 +0000, Bo Zhou wrote:
>
>> How do I do to use fractions of a day as the parameter for time to maturity?
>>
>
> As of now, you don't. The Date class should be extended to include time
> information.
>
> Luigi
>
>
>

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