where to get interest rate?

M

mizhael

In order to calculate the Black Scholes price of an option, I need the interest rate. Where do I find the most current (and hopefully daily updated) interest rate? Say the Libor rate?

I wanted to direct my program to obtain such data automatically and programmatically...

Thanks
 
Quote from Sky123987:

I could be wrong about this, but I think the interest rate is derived from EuroDollars
More...
Actually it is better to use rate YOU can get.
 
You mean I should plug in "my cost of capital (as a retail level investor)" into the BS formula?

Not Libor, not Fed rate, but my bank account deposit rate, or my brokerage interest rate for my leveraged trading?
 
The interest rates you should use are in the option prices themselves. Here how to obtain them: go to an etf such as IWM.
Take ATM strike. (Call-Put) gives the interest. Divided it by strike and annualize the rate. Make sure that the option chain is not an option chain for end of quarter.

That is it! Please confirm you findings.
 
Re: Actually it is better to use rate YOU can get.

What a load of Bollocks!

1). BS equation always uses the risk free rate.

2). No-one in their right mind uses BS equation for pricing, as in the BS ideal world Vega is zero and I can assure you that is not the case in the real world. BS is used as a quoting convention, i.e. implied vol, etc.
 
Quote from riskfreetrading:

The interest rates you should use are in the option prices themselves. Here how to obtain them: go to an etf such as IWM.
Take ATM strike. (Call-Put) gives the interest. Divided it by strike and annualize the rate. Make sure that the option chain is not an option chain for end of quarter.

That is it! Please confirm you findings.
More...

You are trying to calculate option-implied interest rate?

but I want an exogenous interest rate...
 
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