Re: Time to maturity less than a day

Posted by Bo Zhou on Apr 08, 2009; 10:09am
URL: http://quantlib.414.s1.nabble.com/Time-to-maturity-less-than-a-day-tp7395p7400.html

Thanks Nando and Luigi,

There is a workaround - assume 1 day is 1 min, then scale the interest
rate accordingly.

1 day = 24*60 mins => 24*60 days = 1440 days ~ 4 years




Luigi Ballabio wrote:
> 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
>
>
>

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