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

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

Yes. Thanks! If you could point me in the right direction on where I can
get code for this that would be great.

Thanks

On Mon, Aug 30, 2021, 8:47 AM Gorazd Brumen <gor...@gm...> wrote:

> 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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