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Implied vols for zero coupon bond
Posted: August 2nd, 2006, 12:04 pm
by flower2222
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
Implied vols for zero coupon bond
Posted: August 2nd, 2006, 12:25 pm
by Flare1
Use an option analysis calculator to back solve for vols
Implied vols for zero coupon bond
Posted: August 2nd, 2006, 12:53 pm
by flower2222
but i can't get the price of the option on ZCB from market. could you give me?
Implied vols for zero coupon bond
Posted: August 2nd, 2006, 1:21 pm
by vegavexity
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.