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 ==== [MESSAGE SEPARATOR] ====