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

[Giuseppe T. <tr...@gm...>]

Hi Michael,

to add on the previous answer, the derivative is taken with respect to the
strike price of the option.

It's pretty easy to derive by yourself starting from the general payoff of
an option (yielding a "model free result") or from the Black-76 formula.

For extra directions check online "Breeden-Litzenberger result".

Giuseppe Trapani

Il lun 30 ago 2021, 15:28 Michael (DataDriven portal) <
mi...@da...> ha scritto:

> 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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>>
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