Component 
Resolution  Vanilla Options 




Function Definition 
oBLACK_IF(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree) Uses the NewtonRaphson iteration procedure to calculate the forward price (F) that equates the given market price of the option with Black's model price of the option. Returns the implied forward price only. 




Option Types 
European options on Forward and Futures Contracts. 





Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type 

Enumerated Constant 

Call = 1 

OptionValue 

Current market price of the option 

Double 

Option Value > 0 

ValueDate 

Valuation date of the option 

Date 

ValDate < MatDate 

Maturity Date 

Maturity date of the option 

Date 

MatDate > ValDate 

Exercise 

Exercise price of the option 

Double 

Exercise > 0 

Volatility 

Annualized volatility of the underlying asset, expressed as a decimal 

Double 

Volatility > 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_IS( )  Generalized Black Scholes Implied Spot Function 
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