currently we don't have support for time inside a Date instance,
so unfortunately TimeSeries are limited to one entry per day. If
that's acceptable and you just want to store the time with the value,
you can define a struct holding the time and the value and use a
TimeSeries<YourStruct>. Otherwise, you'd have to add a time field to
the Date class, but that's a large change since you'd have to keep
track of it in the whole set of Date operations.
As for the example, I'm not sure what you mean by "work with a list of
values, e.g. to calculate an option price". Anyway, I would probably
write a new example to highlight TimeSeries use, rather than add it to
an existing one (mostly to keep them relatively simple and focused on
just one thing). The historical backtesting you wrote about might be
such an idea.
On Thu, Dec 20, 2012 at 5:47 PM, colman <colman01@...> wrote:
> Hi all,
> The point of this post is to find out how to make the best use of some data
> I have captured. For example using it for an option price (by viewing the
> equityOption example close enough or a martingale path calculation etc). I
> don't know for sure at the moment, but some use of this kind.
> I have some data with the following format:
> Cisco Systems Inc. Registered Shares DL-,001 2012-09-25 20:00:17.897 18.665
> When I use a timeseries object my code will look like the following, for 100
> values, say:
> TimeSeries<double>* ts = new TimeSeries<double>(Date(24,September,2012),
> values, &values);
> I would like to set the time and value more accurately than just to the date
> and then get an example running with that timeseries.
> So I'm looking for
> 1) How best to pair date with time and value
> 2) Which example would be best to modify to work with a list of values,
> e.g. to calculate an option price
> Thanks for reading,
> View this message in context: http://quantlib.10058.n7.nabble.com/Use-of-TimeSeries-tp13815.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
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