O*********e
发帖数: 15 | 1 In order to price a cap/floor using Black's Model, what day count convention
should I use for T when calculating d1=(log(S/K) +sigma^2/2 * T) / (sigma *
sqr(T))? ACT/360, ACT/365 or ACT/ACT? | m******a
发帖数: 9 | 2 I am dealing with Cap/Floor on Libor. Althoght it is Act/360, the daycounter
used for discount factor and vol termstructure are always act/act, Act/365
also makes no difference normally
convention
*
【在 O*********e 的大作中提到】
: In order to price a cap/floor using Black's Model, what day count convention
: should I use for T when calculating d1=(log(S/K) +sigma^2/2 * T) / (sigma *
: sqr(T))? ACT/360, ACT/365 or ACT/ACT?
| O*********e
发帖数: 15 | 3 Thanks a lot for answering.
daycounter
365
【在 m******a 的大作中提到】
: I am dealing with Cap/Floor on Libor. Althoght it is Act/360, the daycounter
: used for discount factor and vol termstructure are always act/act, Act/365
: also makes no difference normally
:
: convention
: *
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