Hi everyone,
I'm currently writing my BSc thesis in quantitative finance, focusing on calibrating the Heston (1993) model using FFT (Carr-Madan). I want to compare the volatility dynamics of equities vs. interest rates/bonds.
I have access to WRDS / OptionMetrics (IvyDB US). I'm using SPX for the equity side, which works perfectly since they are European, and have a large volume. However, I'm struggling to find good data for the bond/rates side with enough volume.
Does anyone know where I might find historical European options data for US Treasuries/Rates? Or alternatively, do you have other ideas for interesting options to look at?
Any guidance on data sources would be greatly appreciated!
Historical European options on US Treasuries for Heston calibration (BSc Thesis)
byu/WhiteForest01 inoptions
Posted by WhiteForest01
1 Comment
> However, I’m struggling to find good data for the bond/rates side with enough volume.
1. 10s and bonds are liquid as fuck (ugh, that came out very very wrong). But, if you already have access to IvyDB, I’d just use TLT vols
2. IIRC, IvyDB does not enforce put-call parity due to forwards, so you need to correct vols based on delta-weighting, if you want realistic numbers