I am trying to construct a Black-Derman-Toy trinomial tree as explained in Espen Haug's Complete Guide to Option Pricing Formulas, chapter 11. Where do I get the Inputs (table 11-2) from if I wanted to experiment with the latest data?
The table has 3 columns. Years to Maturity, Zero Coupon Rates, Zero Coupon Volatilities. Years to Maturity are from 1Y to 5Y. Rates are 9%, 9.5%,10%,10.5%,11% The vols are 24%,22%,20%,18%,16%. (The data looks to be made up, I am looking for realistic and current data).
I might be able to get zc yields from Quandl website but I am not sure where to get yield volatilities from. Do these need to be calculated? If yes, can I take a year's worth of prices and compute sigma using Eq 12.1 (chapter 12) from the same book? Or do I need to substitute Cap vols? Thanks in advance.