Component 
Resolution  Vanilla Options 




Function Definition 
oBAW_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, NetCarry) Uses the NewtonRaphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the BaroneAdesi 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 

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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