Component 
Resolution  Vanilla Options 




Function Definition 
oBS_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree) Uses the NewtonRaphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the BlackScholes model price of the option. Returns the implied volatility only. 




Option Types 
European options on Stocks. 




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 

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% 








In This Section 
See Also oBS( )  Black Scholes Function oBS_IS( )  Black Scholes Implied Spot Function oGBS_IV( )  Generalized Black Scholes Implied Volatility Function 
Copyright 2013 Hedgebook Ltd.