From: Ferdinando A. <na...@am...> - 2006-10-20 16:12:37
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Hi all > 1) Logic about third Friday after the third Thursday. This is cake and a > simple conditional-if or case statement will work fine. > 2) Incorporate holiday checking and handling into step one above and > determine when the rearranged expiration time is set. Does anyone know the > rule for this? What happen if the Friday after the third Thursday is an holiday? If the expiry day just rolls up to the next business day, what about: static Date fridayAfterThirdThursday(Calendar c, Month m, Year y) { Date thirdThursday = nthWeekday(3, Thursday, m, y); Date result = nextWeekday(thirdThursday, Friday); result = c.adjust(result, Following); } if this is what you are looking for I can add it to QuantLib. > p.s. Two years ago I wrote about working with a FpML/XML parser. A large > list of exchange traded options could be handled smoothly if these things > were implemented properly. We are very interested about FpMLsupport/compliance. Please look the mailing list archives for related threads. ciao -- Nando |