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oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBAW_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Barone-Adesi Whaley quadratic approximation of the option price. Returns the implied volatility only.

 

 

Option Types

American options on Stocks, Stock Indices, Currencies and Futures

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

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 market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the option.

 

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%

NetCarry

 

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

 

Double or Curve

 

 

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