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oBLACK_IF( ) - Black Implied Forward Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBLACK_IF(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree)

Uses the Newton-Raphson 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
Put = 2

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

oBLACK_IF( ) Example - Call Option on a Forward Contract

See Also

Parameter Types

oBLACK( ) - Black Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oBLACK_IV( ) - Black Implied Volatility Function

oBLACK_IX( ) - Black Implied Strike Function

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