QuoteOriginally posted by: mutleyI didn't state the forward yield must contain the Libor 3M rate, i said they are normally quoted vs 3M rates (in broker market), rather than vs OISattached is chart from Friday close for March expiry on SX5E - i see an implied forward of 3456.46 / -1.000678 = 3454.11. this is very close to the March future (VGH6) on that close of 3455.also, the df of 1.000678 implies a continuously-compounded rate of discount of ln(1.000678)/-0.364 = -0.19%, which is close to the 6m EONIA compounded rate (EUSWEF) of -0.21% for that close too.what expiries are you looking at?I misunderstood what you said, I thought you said that they are quoted against OIS. I re read your post, and indeed, I read it in a wrong way. My mistake. Then if they are quoted vs 3M rates it is not surprising I obtain an implied zc close to the one deduced from the 3M curve.Btw, to answer your question, when I look at it, I use all the available expiries.

Let's say you wanted to test your code for early exercise dividend yields NDX100? What/how can I compare the results against?

Hi Daniel, see attached for NDX implied df & forward for Dec16 expiry as of 13th Nov 15 closeSpot on close was 4502.137, time to expiry 1.093yrs (Act365) so on that basis, would take the OIS discount rate to be 1.05% and the implied div yield 1.37% (= q where F = S.exp((r_OIS-q).T) )this chart was created using mid prices from Bloomberg - and i think that "mid" really means offers on the puts and bids on the calls (the put-call implied vols from these prices shows a spread 2-3% vols wide) as this index does not look to be heavily tradedHowever, am not sure whether I understand what you are driving for - you want to extract the implied div yield for american option pricing?

QuoteHowever, am not sure whether I understand what you are driving for - you want to extract the implied div yield for american option pricing? That is a goal indeed. Only thing is how to tackle the problem so that it is arbitrage-free. And we probably need PDE approach? And how long would it take?