00000nam##2200000za#4500 9.571699 CaOODSP 20211126112845 cr ||||||||||| 150406|1999||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/99-15E-PDF Bank of Canada. The information content of interest rate futures options / [electronic resource] by Des Mc Manus. Ottawa - Ontario : Bank of Canada September 1999. 55p. graphs, tables Bank of Canada working paper 1701-9397 99-15 "Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several common methods of estimating risk-neutral probability density functions are examined. A method based on a mixture of lognormals density is found to rank first and a method based on a Hermite polynomial approximation is found to rank second. Several standard summary statistics are also examined, namely volatility, skewness, and kurtosis. The volatility measure is fairly robust across methods, while the skewness and kurtosis measure are model-sensitive. As an example, the days surrounding the September 1998 Federal Open Market Committee are examined."--Abstract. The catalogue number (FB3-2/99-15E), ISBN (0-662-28179-9), and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Bibliography. Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several common methods of estimating risk-neutral probability density functions are examined. A method based on a mixture of lognormals density is found to rank first and a method based on a Hermite polynomial approximation is found to rank second. Several standard summary statistics are also examined, namely volatility, skewness, and kurtosis. The volatility measure is fairly robust across methods, while the skewness and kurtosis measure are model-sensitive. As an example, the days surrounding the September 1998 Federal Open Market Committee are examined.--Abstract Résumé en français. 11-20-Supp 2011-09-29 Interest rates gcpds Markets gcpds Mc Manus, Des The information content of interest rate futures options / (CaOODSP)9.614936 Working paper (Bank of Canada) 1701-9397 99-15 (CaOODSP)9.504604 http://publications.gc.ca PDF 1.09 MB https://publications.gc.ca/collections/Collection/FB3-2-99-15E.pdf 99-15