Re: [Quantlib-users] Use of Calendar in Pricing Engines

[Yuanhao Z. <yua...@gm...>]

What is the intra-day pricing. Does it mean the real time pricing?

Ths

Alex Zhang


2013/6/25 Haoyun XU <xuh...@gm...>

> Hi,
>
> I wonder if the trading calendar is used in the numerical pricing engines.
> For example, we want to price some equity barrier option with discrete
> dividends using finite difference method. In Black-Scholes constant
> volatility context, the stock price process goes on even in holidays &
> weekends. However, these non-tradings days are not eligible for barrier
> monitoring.
>
> Theoretically, in the finite difference grids, we may need to relax the
> barrier boundary condition during non-trading days. This also applies to
> early exercise & other features as well.
>
> For Monte Carlo simulation, these could be handled naturally. Just wonder
> whether QuantLib takes this into consideration in its implementation for
> finite difference methods.
>
> Also, I wonder if the pricing engine supports intra-day pricing, which
> takes into account a fraction of a day.
>
> Many Thanks!
>
> Best,
> Henry Xu
>
>
>
>
>
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