Component 
Resolution  Vanilla Options 




Function Definition 
oBSw_IV(WarrantPrice, ValueDate, MaturityDate, Spot, Exercise, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule) Uses the NewtonRaphson iteration procedure to calculate the implied volatility value that equates the given market price of the warrant with the Black Scholes model price of the warrant. Returns the implied volatility only. 




Option Types 
European call warrants. 




Function Parameters 



Parameters

Description 

Parameter Type 

Restrictions 

.. 

WarrantPrice 

Current market price of traded warrant. 

Double 

WarrantPrice > 0 

ValueDate 

Valuation date of the warrant. 

Date 

ValDate < MatDate 

MaturityDate 

Maturity date of the warrant. 

Date 

MatDate > ValDate 

Spot 

Current market price of the underlying asset 

Double 

Spot > 0 

Exercise 

Exercise price of the warrant. 

Double 

Exercise > 0 

RiskFree 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object. 

Double or Curve 

RiskFree >= 0% 

TotalShares 

Total number of outstanding shares of the underlying instrument. 

Double 

TotalShares >= 0 

Warrants 

The number of warrants. 

Double 

Warrants >= 0 

SharesPerWarrent 

The number of shares that can be purchased with each warrant. 

Double 

SharesPerWar >= 0 

DividendSchedule 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate. Alternatively, the dividend can be entered as a single continuous rate. 

Curve or Double 

If specified as a Curve, each dividend date must be unique. 
See Also oBSw( )  Black Scholes Warrant Function oBSw_IS( )  Black Scholes Warrant Implied Spot Function 
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