Bond Futures

[Khanh Nguyen]

Hi,

Is it possible to use Quantlib for Treasury futures pricing?

I am looking to implement this function
http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/tfutbyprice.html

So far, the closest I came to an approach is this paper
http://finance.wharton.upenn.edu/~rlwctr/papers/8412.PDF which found a
way to price Treasury futures using 'Quality Variation Option".
However, I couldn't find any useful information about 'quality
variation option' online and I supposed QuantLib's VarianceOption is a
different thing.

Thanks.

-k

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[Guowen Han]

You may also want to have a look at another paper "Delivery Options in the Pricing and Hedging of Treasury Bond and Note Futures".

Regards,

Khanh Nguyen <[hidden email]>

01/26/2010 05:54 PM

To	[hidden email]
cc
Subject	[Quantlib-users] Bond Futures

Hi,

Is it possible to use Quantlib for Treasury futures pricing?

I am looking to implement this function
http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/tfutbyprice.html

So far, the closest I came to an approach is this paper
http://finance.wharton.upenn.edu/~rlwctr/papers/8412.PDF which found a
way to price Treasury futures using 'Quality Variation Option".
However, I couldn't find any useful information about 'quality
variation option' online and I supposed QuantLib's VarianceOption is a
different thing.

Thanks.

-k

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[Luigi Ballabio]

On Tue, 2010-01-26 at 17:54 -0500, Khanh Nguyen wrote:

> Is it possible to use Quantlib for Treasury futures pricing?
>
> I am looking to implement this function
> http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/tfutbyprice.html
>
> So far, the closest I came to an approach is this paper
> http://finance.wharton.upenn.edu/~rlwctr/papers/8412.PDF which found a
> way to price Treasury futures using 'Quality Variation Option".
> However, I couldn't find any useful information about 'quality
> variation option' online and I supposed QuantLib's VarianceOption is a
> different thing.

Yes, it's a different thing.  Treasury futures are not available.  I'll
be happy to accept a patch if you implement them.

Luigi



--

Newton's Law of Gravitation:
What goes up must come down. But don't expect it to come down
where you can find it. Murphy's Law applies to Newton's.



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