index dividend swaps

Discussion in 'Options' started by obsidian, Sep 1, 2012.

  1. obsidian



    Does anyone know where I can find or purchase historical price data on long-dated (more than 2 years maturity) index forwards?

    Aside from the more typically traded eurostoxx, nikkei, spx div swaps, I am looking to construct implied dividend curves for lesser traded otc forward indices such as OMX. This is proving to be quite the challenge as bloomberg doesn't have this data. Short of hiring some assistants to scrub years of daily price runs from otc brokers, is there any other solution?

  2. (don't hate me for this, please).

    Seems like a lot of work for something that will, in all likelihood, have little value (don't hit me, LOL). But, I've never been a fan of backtesting. Those I know who have spent a lot of time and $$ on backtesting have never had much luck. It does seem to show someone what cannot work, but rarely anything that might work. You simply cannot program all the outside factors that affect the outcome.