Implied volatility of any instrument
Use the grid solver to generate instrument prices via
find_present_value and run them
through a bisective root search method until a constant volatility matching the provided
instrument price has been found.
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Target price for root finder
Instrument to search for the target price on, passed as
the sole instrument to
Additional arguments to be passed on to
Bisection method original guess
Relative tolerance in instrument price defining the root-finder halting condition
Maximum number of root-finder iterations allowed
Maximum volatility to try
american_implied_volatility, this routine allows for any legal
term structures and equity-linked default intensities. For that reason, it eschews
the control variate tricks that make
american_implied_volatility so much faster.
Note that equity-linked default intensities can result in instrument prices that are not monotonic in volatility. This bisective root finder will find a solution but not necessarily any particular one.
A list of present values, with the same names as
find_present_value for the underlying
implied_volatility_with_term_struct for European options
without equity dependence of default intensity,
american_implied_volatility for the same on American options
Other Equity Dependent Default Intensity:
Other Implied Volatilities:
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