Re: [Quantlib-dev] Intra-day date representation ?

[Klaus S. <kl...@sp...>]

Hi Dirk,

not a day-dream, but I never brought it into a "patch" or close to it. I started off by 
replacing QuantLib::Date with boost::local_date_time (w/o taking backwards 
compatibility into considerations) and changed the DayCounters to also consider hours 
but I think there is no way doing this in a backwards compatible manner.

regards
Klaus


On Wednesday, August 06, 2014 01:40:24 PM Dirk Eddelbuettel wrote:
> I just had yet another RQuantLib user contact me noticing that option values
> do not adjust to small changes in time-to-maturity 't' -- which is correct.
> While I take 't' as a float it eventually gets encoded as Boost Date and
> becomes (day-based) fraction of a year.
> 
> Now, I seem to recall that Klaus, when he was in Chicago for R/Finance,
> mentioned a hack or patch or extension which replaced Date with Datetime.
> 
> Did any of that ever migrate into the repo, or another place?  Or am I
> day-dreaming here (which is always entirely possible ... ;-)  ?
> 
> Dirk