Component 
Resolution  Vanilla Options 




Function Definition 
oBLACK_IV(CallPut, OptionValue, ValueDate, MaturityDate, Forward, Exercise, RiskFree) Uses the NewtonRaphson iteration procedure to calculate the volatility value vol that equates the given market price of the option with Black's model price of the option. Returns the implied volatility only. 




Option Types 
European options on Forward and Futures Contracts. 




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 

Forward 

Current forward price of the underlying asset at MaturityDate. 

Double 

Forward > 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% 
In This Section 
See Also oGBS_IV( )  Generalized Black Scholes Implied Volatility Function 
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