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

[Gorazd B. <gor...@gm...>]

There is a well known formula that relates call/put prices to implied
pricing probabilities, related to the second derivative of the
call/put prices. You might need an implied option value
parametrization for that.
Regards,
G

On Sun, Aug 29, 2021 at 5:56 PM Michael (DataDriven portal)
<mi...@da...> wrote:
>
> 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
>
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