Might be off-topic, but G-Money seems to be someone that might be able to ansert, so I'll ask... :D :P
> Not sure what IB uses for risk free rates, however, industry standard is to create bootstrap a curve from various sources (LIBOR, futures, Swaps). This is how the Bloomberg Terminal creates their RFR curve for default option pricing.?
> A decent alternative is just to pull treasury par yields from the??(they also have an XML public API), bootstrap a zero coupon curve from these rates, and finally interpolate on this curve for the given maturity of your the options being modeled.?
Where does the inflation rate come into this game, or is just irgnored? I mean.. for a risk free rate I want the (treasury rate) - (inflation rate), as inflation is a risk.
We should have negate RFRs since months already, but we have not. Don't really get why... I buy the 10T with 1.4 rate at 5% infltation, I'm lossing money (risk free rate is negative in relativ).
>??Depending on your product of choice, arguably a more important input than rates is a decently accurate, forward-looking dividend rate ?(discrete or continuous).?
I actually use the Future contract closes to the Opton expiry, to derive all that values all once, as it should be priced arround (spot price) + (risk free rate + forward-looking dividend rate) as long as market conditions or good and arbitragers do their job.
