Bond Future Option

[ycc1107]

I wonder if there is a way to pricing bond future option using quantlib. Thank you.

[Luigi Ballabio]

Hello,

    no, they're not available at this time. There's a FixedRateBondForward that could be taken as a starting point to build futures and then options, but nobody did the implementation yet.

Luigi

On Thu, Apr 10, 2014 at 6:57 PM, ycc1107 <[hidden email]> wrote:

I wonder if there is a way to pricing bond future option using quantlib.
Thank you.



--
View this message in context: http://quantlib.10058.n7.nabble.com/Bond-Future-Option-tp15140.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Put Bad Developers to Shame
Dominate Development with Jenkins Continuous Integration
Continuously Automate Build, Test & Deployment
Start a new project now. Try Jenkins in the cloud.
http://p.sf.net/sfu/13600_Cloudbees
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
Learn Graph Databases - Download FREE O'Reilly Book
"Graph Databases" is the definitive new guide to graph databases and their
applications. Written by three acclaimed leaders in the field,
this first edition is now available. Download your free book today!
http://p.sf.net/sfu/NeoTech
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[ycc1107]

After I got the future, how should I construct the option(or which pricing engine should I use)? Could you enlighten me a little bit more? Thank you.

[Luigi Ballabio]

There's no ready-made pricing engine; you'll have to build one (as well as the corresponding instrument). If you use a Black model,  the engine would calculate the forward price (together with the volatility and the other required parameters) and then use the functions declared in <ql/pricingengines/blackformula.hpp>. There's a few engines that do this, for instance, the BlackSwaptionEngine class. It's more complicated than the one you'll need (most of it is the calculation of the underlying swap rate, that you'll replace), but it can give you an idea of the interface. Let me know if this makes sense.

Later,

    Luigi

On Thu, Apr 17, 2014 at 9:11 PM, ycc1107 <[hidden email]> wrote:

After I got the future, how should I construct the option(or which pricing
engine should I use)? Could you enlighten me a little bit more? Thank you.



--
View this message in context: http://quantlib.10058.n7.nabble.com/Bond-Future-Option-tp15140p15170.html

Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------

Learn Graph Databases - Download FREE O'Reilly Book
"Graph Databases" is the definitive new guide to graph databases and their
applications. Written by three acclaimed leaders in the field,
this first edition is now available. Download your free book today!
http://p.sf.net/sfu/NeoTech

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
"Accelerate Dev Cycles with Automated Cross-Browser Testing - For FREE
Instantly run your Selenium tests across 300+ browser/OS combos.  Get
unparalleled scalability from the best Selenium testing platform available.
Simple to use. Nothing to install. Get started now for free."
http://p.sf.net/sfu/SauceLabs
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users