Re: Time to maturity less than a day

Posted by Luigi Ballabio on Apr 08, 2009; 9:23am
URL: http://quantlib.414.s1.nabble.com/Time-to-maturity-less-than-a-day-tp7395p7398.html

On Tue, 2009-04-07 at 11:19 +0000, Bo Zhou wrote:
> Is this on the todo list? Any time frame? If not how do I request this
> feature?

Contributing a patch would be a nice way :)

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

Sorry, I don't have enough experience in option trading to answer this.

Luigi


--

Better to remain silent and be thought a fool than to speak out and
remove all doubt.
-- Abraham Lincoln



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