oBSdd_IV( ) - Black Scholes (Discrete Dividend) Implied Volatility Function


Component	Resolution - Vanilla Options

Function Definition	oBSdd_IV(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, Dividends) Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Black-Scholes (Discrete Dividend) 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 2 - Put
Option Value			Current market price of the option.	Double	Option Value > 0
Value Date			Valuation date of the option.	Date	ValDate < MatDate
Maturity Date			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%
Dividends			The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.	Curve	Each dividend date must be unique.