oRGW_IV( ) - Roll Geske Whaley Implied Volatility Function

Component

Resolution - Vanilla Options

Function Definition

oRGW_IV(OptionValue, ValueDate, MaturityDate, Spot, Exercise, RiskFree, DividendDate, DividendAmount)

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value that equates the given market price of the option with the Roll Geske Whaley model price of the option. Returns the implied volatility only.

Option Types

American call options on Stocks that pay a single discrete dividend.

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

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%

DividendDate

The date the dividend is paid.

Date

DividendAmount

The amount of the dividend.

Double

See Also

Parameter Types

oRGW( ) - Roll Geske Whaley Function

oRGW_IS( ) - Roll Geske Whaley Implied Spot Function

oRGW_IX( ) - Roll Geske Whaley Implied Strike Function