NAME

Quant::Framework::VolSurface::Utils

DESCRIPTION

Some general vol-related utility functions.

SYNOPSIS

my $utils = Quant::Framework::VolSurface::Utils->new;

NY1700_rollover_date_on

Returns (as a Date::Utility) the NY1700 rollover date for a given Date::Utility.

effective_date_for

Get the "effective date" for a given Date::Utility (stated in GMT).

This is the we should consider a volsurface effective for, and rolls over every day at NY1700. If a volsurface is quoted at GMT2300, its effective date is actually the next day.

This returns a Date::Utility truncated to midnight of the relevant day.

is_before_rollover

Returns 1 if given date-time is before roll-over time.