Re: Time to maturity less than a day

Posted by Ferdinando Ametrano-4 on Apr 07, 2009; 5:33pm
URL: http://quantlib.414.s1.nabble.com/Time-to-maturity-less-than-a-day-tp7395p7399.html

On Tue, Apr 7, 2009 at 1:19 PM, Bo Zhou <[hidden email]> wrote:
> Is this on the todo list?
No

> Any time frame?
No

> If not how do I request this feature?
You're doing it ;-)
Jokes aside you can use the "feature request" at
http://sourceforge.net/tracker/?group_id=12740&atid=362740

Anyway I might be missing something, but it doesn't make sense to me
to calculate implied volatility for an option with less than one day
to expiry; even for its price it should be fine to just use intrinsic
value.

ciao -- Nando

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