Delta One

Data

Published by: Octavus Limited
Categories: Science & Statistics, Mathematics, Business and Finance, Capital Markets
Date added: 1/8/2013
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Rates and yields derived from real market data. All working bids, offers and trades for vanilla options, synthetic forwards and boxes are used to imply the rates and yields used by the market at any given time. The dataset consists of zero and forward interest rates, discount factor, zero and forward dividend yields, implied forward and dividend index points for a particular time and spot reference for each index. See the support website for full description of methodology and daily statistics of model calibration quality.

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