| Library: | finance |
| See also: | american asset bs1 european volatility volsurf volsurfplot |
| Quantlet: | ImplVola | |
| Description: | determines the implied volatilities assuming the Black Scholes model for a vector of European style options; uses either the method of bisections or the default Newton-Raphson method. |
| Usage: | y = ImplVola(x {, IVmethod}) | |
| Input: | ||
| x | n x 6 data matrix. The first column contains the underlying asset prices, the second the strikes, the third the interest rates, the fourth maturities [years], the fifth the option prices and the sixth contains the types of the option (1 means a call or 0 a put). | |
| IVmethod | string, if IVmethod = "bisect" then bisections are used, otherwise the Newton-Raphson method. | |
| Output: | ||
| y | n x 1 vector containing the implied volatilities for the given data. | |
library("finance")
assetprice = #(5290.36, 5290.36,5290.36,5290.36)
strike = #(5350,5500,3700,3800)
irate = #(0.03294,0.03294,0.03294,0.03294)
maturity = #(0.13425,0.13425,0.13425,0.13425)
optionprice = #(221.6,154.2,4.9,6.4)
type = #(1,1,0,0)
x=assetprice~strike~irate~maturity~optionprice~type
ivola=ImplVola(x)
ivola
Contents of ivola [1,] 0.30842 [2,] 0.2993 [3,] 0.47033 [4,] 0.45812