[Quantlib-users] Option-market-implied probabilities for interest rate moves

[Michael (D. portal) <mi...@da...>]

Hi All,

I am looking for an algo to calculate option-market-implied probabilities
of interest rates moves derived from the premiums of interest rate
swaptions.

E.g. market-implied probabilities from the prices of swaptions on
10-year-swap rates. What is the market-implied probability that 10Y swap
rate will increase 25, 50, 75 bps, etc?

Thanks,

Michael