Posted by
Mike S-10 on
Apr 09, 2009; 10:43pm
URL: http://quantlib.414.s1.nabble.com/Time-to-maturity-less-than-a-day-tp7395p7397.html
> On the other hand, is Theta usually big enough to make significant
> intraday difference at all?
It can be, and theta decay does not occur linearly with the passage of
time. For instance, in US equity markets, you typically lose half your
theta in the first hour of trading.
Also, approaching the close on expiration Friday, I've seen traders
get frustrated having to continually increase the vol's they are
running in order to stay on their markets.
The last hour can be an issue when your system is distributed and
there is confusion about what software is running in what time zone.
Nobody wants their quoting application running negative volatilities.
-Mike
------------------------------------------------------------------------------
This SF.net email is sponsored by:
High Quality Requirements in a Collaborative Environment.
Download a free trial of Rational Requirements Composer Now!
http://p.sf.net/sfu/www-ibm-com_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users