Implied vols for zero coupon bond

flower2222 · August 2nd, 2006, 12:04 pm

I need implied vols to test my program, but i can't find in market. could anyone give me some suggest about this?feel free to comment this. thanks

Flare1 · August 2nd, 2006, 12:25 pm

Use an option analysis calculator to back solve for vols

flower2222 · August 2nd, 2006, 12:53 pm

but i can't get the price of the option on ZCB from market. could you give me?

vegavexity · August 2nd, 2006, 1:21 pm

Options on ZCBs don't trade readily in the mkt.Use implied volss from regular bond/note options and adjust them for the difference in duration.