System and method for calculating a volatility carry metric

System and method for calculating a volatility carry metric

Systems and methods of generating metrics for volatility products are disclosed. According to various embodiments, the metric may use a carry of the volatility product and a volatility of the implied volatility to determine the metric. Through the metric, or carry quotient, global interest rate vola...

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Hauptverfasser: Caron, James A, McGraw, William J, Stipanov, Jason D
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Sprache:eng
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creator Caron, James A
McGraw, William J
Stipanov, Jason D
description Systems and methods of generating metrics for volatility products are disclosed. According to various embodiments, the metric may use a carry of the volatility product and a volatility of the implied volatility to determine the metric. Through the metric, or carry quotient, global interest rate volatility may be searched to identify trades with attractive rolldown and carry characteristics.
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title System and method for calculating a volatility carry metric
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