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oBLACK_IV( ) - Black Implied Volatility Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBLACK_IV(CallPut, OptionValue, ValueDate, MaturityDate, Forward, Exercise, RiskFree)

Uses the Newton-Raphson 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
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

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

oBLACK_IV( ) Example - Call Option on a Forward Contract

See Also

Parameter Types

oBLACK( ) - Black Function

oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

oBLACK_IF( ) - Black Implied Forward Function

oBLACK_IX( ) - Black Implied Strike Function

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