[英]Which interest rate to use for computing IV: FlatForward doesn't make sense?
I am confused by quantlib
yield
classes: it doesn't make sense to use one interest rate
, eg, today's rate, for an option chain
that has different expiry
.我对
quantlib
yield
类感到困惑:对于具有不同expiry
的option chain
,使用一种interest rate
(例如今天的利率)是没有意义的。
Say you have a yield curve
at time t
(today) that goes out from one month to thirty years.假设您在时间
t
(今天)有一条从一个月到三十年的yield curve
。 If you have several European
equity
options
that expires
in say several possibilities (an option chain): a week, three weeks, one month, three months or six months, to compute the implied volatility
, do you still use for each expiry
, the interest rate
( QuantLib::Rate riskFreeRate
) ;closest to today, or do you use the yield curve
and instead of using FlatForward
use something else?如果您有几个
European
equity
options
在几种可能性(一个期权链)中expires
:一周、三周、一个月、三个月或六个月,以计算implied volatility
,您是否仍然使用每个expiry
日的interest rate
( QuantLib::Rate riskFreeRate
) ; 最接近今天,或者你是否使用yield curve
而不是使用FlatForward
使用其他东西?
I found an answer that sort of what I was asking for here I am still uncertain, but this seems like a logical answer.我找到了一个我在这里要求的答案,我仍然不确定,但这似乎是一个合乎逻辑的答案。
So if I have a European option
and it expires
in six months, one possibility is to use the six month t-bill
[or corresponding rate on the YC] rate
and annualize it using FlatForward
.因此,如果我有一个
European option
并且它在六个月expires
,一种可能性是使用六个月的t-bill
[或 YC 的相应利率] rate
并使用FlatForward
对其进行年化。
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