Re: [Quantlib-users] VanillaOption valuation on maturity date

[Simon I. <Sim...@fs...>]

I think that QuantLib - like many valuation libraries - works on an End
Of Day basis, so that any options would have expired by then and should
have been transformed (within the calling IT system) into cash or
physical.

Changing QuantLib to support intra-day valuations would be rather
difficult - yieldcurves usually need to work on a whole-day basis (as
depos of less than one day are very scarce) but volatility->variance
calculations would work on a continuous time basis (or during trading
hours).

I don't think anyone has even compiled all the changes required, never
mind considered implementing them.

Luigi - is there anywhere that such a list of changes would sit? Or
similar requirement gathering for a complicated project?

Simon


-----Original Message-----
From: aimz [mailto:iz...@bf...] 
Sent: 15 October 2012 14:26
To: qua...@li...
Subject: Re: [Quantlib-users] VanillaOption valuation on maturity date


May be worth considering that, at least in some of the systems I use, on
expiration date an option trades at intrinsic value.
This aspect is indeed somewhat academic.
But there is also a practical aspect because while expiration as an
attribute is a day, on some markets expiry occurs at end of day while on
others next morning. At least in Asia.

Rgds


Luigi Ballabio wrote:
> 
> That's the intended behavior.  The option is considered to have
> expired (you can check it by calling its isExpired() method), so the
> value is 0.
> 
> Luigi
> 
> 
> On Thu, Oct 11, 2012 at 7:56 AM, aimz <iz...@bf...>
wrote:
>>
>> My current observation is that on maturity date a VanillaOption is
>> reported
>> as having a NPV value of 0(zero) regardless of whether it is in the
money
>> or
>> out of the money.
>>
>> The expectation is for NPV to be intrinsic value at least.
>>
>> Please confirm if my observation is the intended behavior in QuantLib
or
>> whether it is more likely a mistake on my side. The test I ran was
very
>> simple so I did not expect blatant errors.
>>
>> Regards
>> --
>> View this message in context:
>>
http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070
8p34540708.html
>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
>>
>>
------------------------------------------------------------------------
------
>> Don't let slow site performance ruin your business. Deploy New Relic
APM
>> Deploy New Relic app performance management and know exactly
>> what is happening inside your Ruby, Python, PHP, Java, and .NET app
>> Try New Relic at no cost today and get our sweet Data Nerd shirt too!
>> http://p.sf.net/sfu/newrelic-dev2dev
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 
>
------------------------------------------------------------------------
------
> Don't let slow site performance ruin your business. Deploy New Relic
APM
> Deploy New Relic app performance management and know exactly
> what is happening inside your Ruby, Python, PHP, Java, and .NET app
> Try New Relic at no cost today and get our sweet Data Nerd shirt too!
> http://p.sf.net/sfu/newrelic-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 
> 

-- 
View this message in context:
http://old.nabble.com/VanillaOption-valuation-on-maturity-date-tp3454070
8p34558174.html
Sent from the quantlib-users mailing list archive at Nabble.com.


------------------------------------------------------------------------
------
Don't let slow site performance ruin your business. Deploy New Relic APM
Deploy New Relic app performance management and know exactly
what is happening inside your Ruby, Python, PHP, Java, and .NET app
Try New Relic at no cost today and get our sweet Data Nerd shirt too!
http://p.sf.net/sfu/newrelic-dev2dev
_______________________________________________
QuantLib-users mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-users



This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify pos...@fs... immediately and delete the email from your computer.

The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************