Re: [Quantlib-dev] Intraday patch

[Dirk E. <ed...@de...>]

Klaus,

On 4 January 2015 at 22:58, Klaus Spanderen wrote:
| Hi Joe,
| 
| I was struggling with the same problem of intraday pricing a while ago. I've 
| now found  the time to bundle my solution into a patch. 
| 
| In short, I've added intraday resolution directly to QuantLib's Date class 
| using boost::posix_time::ptime while keeping the existing interfaces and 
| behavior the same. The test suite runs unchanged with the new Date class. If 
| you are interest then please find more details 
| 
| https://hpcquantlib.wordpress.com/2015/01/04/intraday-high-resolution-day-counters/

This sounds excellent, and reads very well. Wonderful news!

That said, I don't mean to take away from Joe's work which I meant to look at
but had not found time to actually do so. Being backwards compatible could
well be the key feature here.

Exciting times ahead, along with Peter's AD magic...

Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...