Hi Quantlib-Users,
I am performing a simple exercise to help me understand Quantlib
better: to price Netflix options [1] using only publicly available
market data, as a "regular consumer/individual" would. My first step
is to build a yield curve, followed by a second step working on the
vol surface. I have a few questions which hopefully pertain to this
forum; these questions are as much about methodology as they are about
Quantlib, so apologies in advance if this is not the right place.
I have read a number of articles on bootstrapping and bumping discount
curves using Quantlib (e.g. [1], [2], [3]). The code is very clear.
However, all of these articles seem to be focused on a "commercial"
market - i.e. Interbank/Hedge funds and so forth - since they use
Depos, FRAs and Swaps on the discount curve. Presumably, individuals
do not have access to buy/sell these instruments and as such should
not add them to their discount curves? Or is the availability of the
instruments not relevant for this purpose? Personally, I was going to
use only the instruments available in the Treasury website [3], but
I'd be interested to hear other opinions and any pointers to
articles/mails etc on bootstrapping curves/vol surfaces using only
freely available market data.
Kind regards
--
Marco Craveiro
[1] https://www.google.com/finance/option_chain?q=NASDAQ: NFLX
[2] http://www.billiontrader.com/post/102
[3] http://gouthamanbalaraman.com/blog/quantlib-term-structure- bootstrap-yield-curve.html
[4] http://www.bnikolic.co.uk/blog/ql-bumping-curve.html
[5] https://www.treasury.gov/resource-center/data-chart- center/interest-rates/Pages/ TextView.aspx?data=yield
MD, Domain Driven Consulting
about: http://about.me/marcocraveiro
blog: http://mcraveiro.blogspot.co.uk
twitter: https://twitter.com/MarcoCraveiro
That the Ideas are themselves manifestations (of the Idea-Idea) and
that the Idea-Idea is a-kind-of Manifestation-Idea—which is a-kind-of
itself, so that the system is completely self-describing— would have
been appreciated by Plato as an extremely practical joke [Plato]. --
Alan Key
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