oBS_IS( ) - Black Scholes Implied Spot Function

Component

Resolution - Vanilla Options

Function Definition

oBS_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Black-Scholes model price of the option. Returns the implied spot only.

Option Types

European options on Stocks.

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

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%

In This Section

oBS_IS( ) Example - Equity Put Option

See Also

Parameter Types

oBS( ) - Black Scholes Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oBS_IV( ) - Black Scholes Implied Volatility Function

oBS_IX( ) - Black Scholes Implied Strike Function