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oBIN_IV( ) - Constant Step BOPM Implied Volatility Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBIN_IV(CallPut, ExerciseStyle, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, NetCarry, Steps)

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the BOPM price of the option. Returns the implied volatility only.

 

 

Option Types

Suitable for 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

ExerciseStyle

 

Exercise type of the option.

 

Enumerated Constant

 

1 - European
2 - American

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

 

 

Steps

 

The number of steps in the binomial tree. Although there is no upper limit, the speed of calculation will deteriorate for high step numbers.

 

Long

 

Steps >= 2

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