Previous Topic

Next Topic

Volatility Curve - IRO Examples

This business holiday schedule is used in conjunction with the following examples:

Interest Rate Option Functions:

 

Copy and paste this date range into the appropriate cells in Excel.

Maturity Date

Volatility

 

.

 

 

13 August 2003

20.7991%

14 August 2003

21.1191%

13 November 2003

22.1209%

12 February 2004

22.0858%

13 May 2004

22.1450%

12 August 2004

22.4481%

13 February 2005

22.5651%

14 August 2005

22.7975%

12 February 2006

22.9254%

13 August 2006

23.1304%

12 February 2007

23.2703%

12 August 2007

23.4655%

12 February 2008

23.6149%

12 August 2008

23.7949%

12 February 2009

23.9166%

12 August 2009

24.0743%

14 February 2010

24.2035%

12 August 2010

24.3604%

13 February 2011

24.4945%

14 August 2011

24.6557%

12 February 2012

24.7930%

12 August 2012

24.9492%

12 February 2013

25.0942%

12 August 2013

25.2611%

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.