oBLACK_IV( ) - Black Implied Volatility Function

Component

Resolution - Vanilla Options

Function Definition

oBLACK_IV(CallPut, OptionValue, ValueDate, MaturityDate, Forward, Exercise, RiskFree)

Uses the Newton-Raphson iteration procedure to calculate the volatility value vol that equates the given market price of the option with Black's model price of the option. Returns the implied volatility only.

Option Types

European options on Forward and Futures Contracts.

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

CallPut

Option type.

Enumerated Constant

1 - Call
2 - Put

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

Forward

Current forward price of the underlying asset at MaturityDate.

Double

Forward > 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

oBLACK_IV( ) Example - Call Option on a Forward Contract

See Also

Parameter Types

oBLACK( ) - Black Function

oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

oBLACK_IF( ) - Black Implied Forward Function

oBLACK_IX( ) - Black Implied Strike Function