Re: [Quantlib-users] Option price not NPV()d ?

[Ken A. <li...@an...>]

Because exchange options are effectively settled every day by margin  
through the exchange, so it's always present day money.

In the commodity world, it's pretty typical to mix OTC options and  
exchange options.  You need to discount the OTC options, but not the  
exchange options.

Ken

On Apr 27, 2006, at 2:40 PM, Ferdinando Ametrano wrote:

> Hi Ken
>
> I might be missing something here... why shouldn't the payoff of a
> commodity option be discounted?
>
> ciao -- Nando
>
> On 4/27/06, Ken Anderson <li...@an...> wrote:
>> The VanillaOption class has a method, NPV(), which calculates the net
>> present value for the option (the value of the option multiplied by
>> the discounting factor).
>>
>> I'm using these classes to compute exchange traded commodity options,
>> and therefore, should not have the price NPV()d.  Is there a way to
>> get the value without NPV ?
>>
>> Ken
>>
>>
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