Description Usage Arguments Value Author(s) Examples
The function implies the volatility of the certificate with one-dimensional Newton/Raphson method
1 |
price |
current price of the certificate |
f |
The pricing function of the certificate, e.g. BonusCertificate |
interval |
interval to search for implied volatility |
sigma |
start value for the volatility |
doPlot |
flag whether to plot price function for convergence diagnostics. Defaults to FALSE |
... |
additional parameters passed to the pricing function, e.g. S=100, X=100 etc. |
returns the implied volatility if it can be implied. Otherwise NA.
Stefan Wilhelm wilhelm@financial.com
1 2 3 4 5 | p <- DiscountCertificate(S=100, X=110, Time=1, r=0.01, r_d=0, sigma=0.5)
implyVolatility(price=p, DiscountCertificate, S=100, X=110, Time=1, r=0.01, r_d=0)
p <- DiscountCertificate(S=100, X=110, Time=1, r=0.01, r_d=0, sigma=0.5)
implyVolatility(price=p, DiscountCertificate, doPlot=TRUE, S=100, X=110, Time=1, r=0.01, r_d=0)
|
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fOptions
Loading required package: fExoticOptions
$root
[1] 0.5
$f.root
[1] 8.01893e-09
$iter
[1] 4
$root
[1] 0.5
$f.root
[1] 8.01893e-09
$iter
[1] 4
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