oBLACK_IF( ) - Black Implied Forward Function


Component	Resolution - Vanilla Options

Function Definition	oBLACK_IF(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree) Uses the Newton-Raphson iteration procedure to calculate the forward price (F) that equates the given market price of the option with Black's model price of the option. Returns the implied forward price only.

Option Types	European options on Forward and Futures Contracts.

Function Parameters

Parameters	Description	Parameter Type	Restrictions
.
CallPut	Option type	Enumerated Constant	Call = 1 Put = 2
OptionValue	Current market price of the option	Double	Option Value > 0
ValueDate	Valuation date of the option	Date	ValDate < MatDate
Maturity Date	Maturity date of the option	Date	MatDate > ValDate
Exercise	Exercise price of the option	Double	Exercise > 0
Volatility	Annualized volatility of the underlying asset, expressed as a decimal	Double	Volatility > 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%

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