P*****s
发帖数: 166 | 1 本来只是想看看matlab的函数行不行，就算了某一天的全部SPX call的implied vol，
发现我所有的都偏小。Option price选的是(highest closing bid+lowest closing
ask)/2,interest rate是从zero curve中于Option maturity最接近的两个通过linear
interpolation得到，用的是calendar day算time to maturity,会是什么原因呢？而且
short maturity的差的较大（max error=0.0895,which matures in 10 days)，long
maturity的还行。所有数据来源于WRDS |
s*****l
发帖数: 4 | 2 Possible reasons:
1. Try rate-time interpolation on short rate rather than applying linear
interpolation directly on zero curve
2. Market conventions like settlement type, spot date or sth else..
3. time to maturity u use in BS formular should always be (optionEndDate-
optionStartDate)/365. the final discount period should be between
currentDate and settlementDate |
J*****n
发帖数: 4859 | 3
linear
你的carry cost设置的是多少？
【在 P*****s 的大作中提到】
: 本来只是想看看matlab的函数行不行，就算了某一天的全部SPX call的implied vol，
: 发现我所有的都偏小。Option price选的是(highest closing bid+lowest closing
: ask)/2,interest rate是从zero curve中于Option maturity最接近的两个通过linear
: interpolation得到，用的是calendar day算time to maturity,会是什么原因呢？而且
: short maturity的差的较大（max error=0.0895,which matures in 10 days)，long
: maturity的还行。所有数据来源于WRDS
|
s******e
发帖数: 1751 | 4 did you check put vol? i bet that could be too high? |
