[Quantlib-users] Local Volatility Calendar

[Dantas <dan...@gm...>]

Hi,is it possible to set two different calendars for the local volatility? 
I Mean one for the Risk Free Day Calendar and Day Count and another for the
Volatility Surface Calendar and Day Count.The current version allows only
one calendar and the day count is set to actual/365.
The reason being that In Brazil Interest Rates have one settlement calendar
and the Exchange has another and more often than not, a certain expire that
have two different remaining days until maturity and that causes a
significant impact.
When I test for the no-arbitrage  KI+KO=Vanilla against  the
AnalyticEuropeanEngine I get a significant difference and that is best guest
where the issue is.
Any other guesses?
Best Regards



--
Sent from: http://quantlib.10058.n7.nabble.com/quantlib-users-f3.html