oBSw_IV( ) - Black Scholes Warrant Implied Volatility Function


Component	Resolution - Vanilla Options

Function Definition	oBSw_IV(WarrantPrice, ValueDate, MaturityDate, Spot, Exercise, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule) Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the warrant with the Black Scholes model price of the warrant. Returns the implied volatility only.

Option Types	European call warrants.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
..
WarrantPrice		Current market price of traded warrant.	Double	WarrantPrice > 0
ValueDate		Valuation date of the warrant.	Date	ValDate < MatDate
MaturityDate		Maturity date of the warrant.	Date	MatDate > ValDate
Spot		Current market price of the underlying asset	Double	Spot > 0
Exercise		Exercise price of the warrant.	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%
TotalShares		Total number of outstanding shares of the underlying instrument.	Double	TotalShares >= 0
Warrants		The number of warrants.	Double	Warrants >= 0
SharesPerWarrent		The number of shares that can be purchased with each warrant.	Double	SharesPerWar >= 0
DividendSchedule		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. Alternatively, the dividend can be entered as a single continuous rate.	Curve or Double	If specified as a Curve, each dividend date must be unique.