Re: [Quantlib-dev] Options pricing not dependent on Settings evaluationDate

[Luigi B. <lui...@gm...>]

Hello,
    the several curves are set up explicitly so that their reference
date is the settlement date (they are passed it in their constructor
at line 112 and following); this causes the discount factor to equal 1
there.  If you want the curves to move with the evaluation dates, you
can use something like

        Handle<YieldTermStructure> flatTermStructure(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(0, calendar, riskFreeRate, dayCounter)));

that tells the curve that its reference date is the evaluation date +
0 days; this will cause the option payoff to be discounted to the
evaluation date.  The option doesn't have information on the
settlement date, so it doesn't manage the discounting between
settlement date and evaluation date. You can add it afterwards by
dividing by the corresponding discount factor.

More info on the way curves are set up are at
<http://implementingquantlib.blogspot.com/2013/09/chapter-3-part-1-of-n-term-structures.html>.

Hope this helps,
    Luigi



On Fri, Oct 4, 2013 at 4:53 AM, Minjae David Kim <min...@gm...> wrote:
> Hello,
>
> I am not sure what I have here:  I was playing with EquityOption.cpp in the
> Examples directory, and realized even if I change the evaluationDate, the
> option prices do not change.  Changing the settlementDate indeed influences
> the option price as expected.
>
> Now, with the assumption that my observation above is correct, shouldn't
> there be a discounting logic as a function of the duration between the
> settlementDate and the evaluationDate?
>
> Before I look into the code, if someone could quickly confirm or explain the
> observation, that would be great.  Thank you.
>
> Best Regards,
> Minjae
>
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