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MathGroup Archive 1996

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Modelling T-Bond futures options on Mathematica

  • To: mathgroup at smc.vnet.net
  • Subject: [mg4174] Modelling T-Bond futures options on Mathematica
  • From: nickbhuta at aol.com (Nickbhuta)
  • Date: Tue, 11 Jun 1996 00:52:36 -0400
  • Organization: America Online, Inc. (1-800-827-6364)
  • Sender: owner-wri-mathgroup at wolfram.com

This question is directed to those who are familiar with financial
applications of Mathematica and those familiar with the financial futures
and options markets....I am attempting to take raw data on T-bond futures
options over the past 6 years and to calculate implied volatility from the
raw data...but, those familiar with bond futures would recognize that this
cannot be done simply by using a FindRoot function together with B-S model
defined parameters....instead one must account for the various delivery
options that make the underlying sometimes unknown and also must account
for the fact that traders think of these things in terms of yield
volatility and not price volatility....if anyone has any thoughts or past
experience with such an endeavor pls email me directly at
bhuta07 at wharton.upenn.edu or reply to this newsgroup...Thanks for your
help....Nick Bhuta

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