Sign up ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I am trying to figure out how to turn implied yield volatility of a short-term interest rate into implied price volatility. Is there an equation to do this?

I have come across the equation for a bond: (price_vol = yield_vol*modified_duration*forward_yield) But, I do not believe this is correct for a STIR option.

share|improve this question
This seems to work very well for at-the-money options: yield_vol*(100-futures_price) – Stu May 6 '14 at 15:45

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.