Elaborate more.. I am also interested in Equity forward curve mainly for the 0-3 yr duration... would you take total return curve or dividends will be excluded..

I would say - go with the basics.. still go for the 30 yr swap curve..

And I am trading in a market where Index Options are European in nature.Its really hard on Sellers to give quote for American options.

<t>Thanks for the replies. Vega and Fretty , sorry for the error. I made a wrong notion about ln(F/K). It will be Zero if the Future and Strike is the same. Here, we would be taking directly the future's price rather than Forwards since Future price is already available to us.How do we decide on the...

<t>How can we price options on index futures. I think we should take Black model instead of Black Scholes model for pricing of these contracts. The term ln(F/K) becomes zero for these contracts.For index futures, you need to pay only some percentage of the Notional as margin money (not the full amou...