QuantLib › quantlib-users

Option pricing with interest rate term structure

Classic

List

Threaded

3 messages Options

Pushpendu Chakraborty

May 15, 2015; 11:46am

Option pricing with interest rate term structure

I would like to price a simple equity option with interest rate term structure.

I assume that the pricing engine will get the interest rate from the term structure provided. So if i provide piecewise linear term structure, the engine will get the rate from this piecewise curve.

Can somebody confirm this? Most ql examples of equity option uses flat int rate.

Thanks,
Pushpendu

------------------------------------------------------------------------------
One dashboard for servers and applications across Physical-Virtual-Cloud
Widest out-of-the-box monitoring support with 50+ applications
Performance metrics, stats and reports that give you Actionable Insights
Deep dive visibility with transaction tracing using APM Insight.
http://ad.doubleclick.net/ddm/clk/290420510;117567292;y
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Luigi Ballabio

May 15, 2015; 11:50am

Re: Option pricing with interest rate term structure

Yes, the option is going to use the rate corresponding to its maturity.

Luigi

On Fri, May 15, 2015 at 2:03 PM, Pushpendu Chakraborty <[hidden email]> wrote:

I would like to price a simple equity option with interest rate term structure.

I assume that the pricing engine will get the interest rate from the term structure provided. So if i provide piecewise linear term structure, the engine will get the rate from this piecewise curve.

Can somebody confirm this? Most ql examples of equity option uses flat int rate.

Thanks,
Pushpendu

------------------------------------------------------------------------------
One dashboard for servers and applications across Physical-Virtual-Cloud
Widest out-of-the-box monitoring support with 50+ applications
Performance metrics, stats and reports that give you Actionable Insights
Deep dive visibility with transaction tracing using APM Insight.
http://ad.doubleclick.net/ddm/clk/290420510;117567292;y
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

... [show rest of quote]

<http://leanpub.com/implementingquantlib/>

<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Pushpendu Chakraborty

May 15, 2015; 11:56am

Re: Option pricing with interest rate term structure

Tjanks Luigi.

On May 15, 2015 8:07 AM, "Luigi Ballabio" <[hidden email]> wrote:

Yes, the option is going to use the rate corresponding to its maturity.

Luigi

On Fri, May 15, 2015 at 2:03 PM, Pushpendu Chakraborty <[hidden email]> wrote:
I would like to price a simple equity option with interest rate term structure.

I assume that the pricing engine will get the interest rate from the term structure provided. So if i provide piecewise linear term structure, the engine will get the rate from this piecewise curve.

Can somebody confirm this? Most ql examples of equity option uses flat int rate.

Thanks,
Pushpendu

------------------------------------------------------------------------------
One dashboard for servers and applications across Physical-Virtual-Cloud
Widest out-of-the-box monitoring support with 50+ applications
Performance metrics, stats and reports that give you Actionable Insights
Deep dive visibility with transaction tracing using APM Insight.
http://ad.doubleclick.net/ddm/clk/290420510;117567292;y
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

... [show rest of quote]

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

... [show rest of quote]