Don,
I pull rates from the Internet (from overnight to 6 months or longer) then I fit a curve and I use the given rate for the expiration of interest.
Re IV: you can of course use IB's calculations, generally the computed one or the half way point between Bid IV and Ask IV.? I coded the simple Newton-Raphson algorithm to extract IV from mid price.? There are other methods as well.
The real issue is however often the Dividend Yield.? Most sources are OK at best.? You can try and use Nelder-Mead instead of Newton-Raphson to extract both IV and DY at the same time.??Since I only trade European options, I prefer calculating a modified "dividend-free" underlying, using the Put-Call Parity and calculated forward price.? That trick technically doesn't work on American options.?
