Component 
Resolution  Vanilla Options 




Function Definition 
oRGW_IV(OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, DividendDate, DividendAmount) Uses the NewtonRaphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Roll Geske Whaley model price of the option. Returns the implied volatility only. 




Option Types 
American call options on Stocks that pay a single discrete dividend. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

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% 

DividendDate 

The date the dividend is paid. 

Date 



DividendAmount 

The amount of the dividend. 

Double 


See Also oRGW( )  Roll Geske Whaley Function 
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