rate term structure for equity option pricing

[financial engineer]

hi,

I'm looking to price a 2-year american option on a US-listed name, and would like to take into account the yield term structure (vs. a flat rate) in my option pricing model....can someone please tell me which QLtermstructure is available for this purpose, as there seem to be quite a few in QL.

Thanks!

------------------------------------------------------------------------------
EMC VNX: the world's simplest storage, starting under $10K
The only unified storage solution that offers unified management
Up to 160% more powerful than alternatives and 25% more efficient.
Guaranteed. http://p.sf.net/sfu/emc-vnx-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Sat, 2011-08-27 at 15:05 -0400, financial engineer wrote:
> I'm looking to price a 2-year american option on a US-listed name, and
> would like to take into account the yield term structure (vs. a flat
> rate) in my option pricing model....can someone please tell me which
> QLtermstructure is available for this purpose, as there seem to be
> quite a few in QL.

If you want to bootstrap a curve over market rates such as deposits or
swap rates, you can use PiecewiseYieldCurve.  Otherwise, you can use
classes such as InterpolatedDiscountCurve or InterpolatedZeroCurve.

Luigi





--

Flon's Law:
There is not now, and never will be, a language in
which it is the least bit difficult to write bad programs.



------------------------------------------------------------------------------
Doing More with Less: The Next Generation Virtual Desktop
What are the key obstacles that have prevented many mid-market businesses
from deploying virtual desktops?   How do next-generation virtual desktops
provide companies an easier-to-deploy, easier-to-manage and more affordable
virtual desktop model.http://www.accelacomm.com/jaw/sfnl/114/51426474/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[financial engineer]

thanks Luigi

> Subject: Re: [Quantlib-users] rate term structure for equity option pricing

> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]
> Date: Thu, 8 Sep 2011 16:27:07 +0200
>
> On Sat, 2011-08-27 at 15:05 -0400, financial engineer wrote:
> > I'm looking to price a 2-year american option on a US-listed name, and
> > would like to take into account the yield term structure (vs. a flat
> > rate) in my option pricing model....can someone please tell me which
> > QLtermstructure is available for this purpose, as there seem to be
> > quite a few in QL.
>
> If you want to bootstrap a curve over market rates such as deposits or
> swap rates, you can use PiecewiseYieldCurve. Otherwise, you can use
> classes such as InterpolatedDiscountCurve or InterpolatedZeroCurve.
>
> Luigi
>
>
>
>
>
> --
>
> Flon's Law:
> There is not now, and never will be, a language in
> which it is the least bit difficult to write bad programs.
>
>

------------------------------------------------------------------------------
Doing More with Less: The Next Generation Virtual Desktop
What are the key obstacles that have prevented many mid-market businesses
from deploying virtual desktops?   How do next-generation virtual desktops
provide companies an easier-to-deploy, easier-to-manage and more affordable
virtual desktop model.http://www.accelacomm.com/jaw/sfnl/114/51426474/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users