r*******t
发帖数: 8550 | 1 看来要有很多东西要做出来才能计算Option on Bond Future Analytics，我分析，有
如下几点
A) construct daily off-the-run bond zero curve, and their curve change for
calculating analytics
B) cheapest to deliver for bond future (possible switch from one bond to
another for delivery if interest rate curve change)
C) price vol VS yield vol
D) volatility smile (vol changes when analytics curve changes) for option
price
E) the future daily settlement method affects on option price
F) the future option daily settlement method affects on option price
老板说很简单，我看起来非常复杂，上面这些公司都没有现成的，这些每一步都需要几
个星期。
有人能够指点一下吗？有没有一些现成的open source library或是excel sample
template / Bloomberg template？ |
b*******n
发帖数: 5065 | 2
靠，搞了半天，你还在做模型，而不是trader呀。
【在 r*******t 的大作中提到】
: 看来要有很多东西要做出来才能计算Option on Bond Future Analytics，我分析，有
: 如下几点
: A) construct daily off-the-run bond zero curve, and their curve change for
: calculating analytics
: B) cheapest to deliver for bond future (possible switch from one bond to
: another for delivery if interest rate curve change)
: C) price vol VS yield vol
: D) volatility smile (vol changes when analytics curve changes) for option
: price
: E) the future daily settlement method affects on option price
|
r*******t
发帖数: 8550 | 3 没有计价，如何能trade？
【在 b*******n 的大作中提到】
:
: 靠，搞了半天，你还在做模型，而不是trader呀。
|
