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Quantitative Finance · Glossary

What is Business time?

Definition 8.9 Derivatives and Volatility · Chapter 8 — Parametrising the Surface

Business time is a clock that counts the variance-bearing time between two dates rather than calendar days: trading days count one, weekends and holidays a fraction (often zero), and event days one plus their event variance. Volatilities quoted on a 252-trading-day clock are in business time.

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