Component 
Resolution  Vanilla Options 




Function Definition 
oGK_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree_D, RiskFree_F) Uses the NewtonRaphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Garman Kohlhagen model price of the option. Returns the implied volatility only. 




Option Types 
European options on Currencies. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

OptionValue 

Current market price of the option. 

Double 

Option Value > 0 

ValueDate 

Valuation date of the option. 

Date 

ValDate < MatDate 

MaturityDate 

Maturity date of the option. 

Date 

MatDate > ValDate 

Spot 

Current exchange rate. 

Double 

Spot > 0 

Exercise 

Exercise rate of the option. 

Double 

Exercise >= 0 

RiskFree_D 

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

Double or Curve 

RiskFree_D >= 0% 

RiskFree_F 

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

Double or Curve 

RiskFree_F >= 0% 
See Also oGK( )  Garman Kohlhagen Function oGK_IS( )  Garman Kohlhagen Implied Spot Function oGBS_IV( )  Generalized Black Scholes Implied Volatility Function 
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