Description Usage Arguments Details Value See Also Examples
Use the provided discount factor function to infer constant short rates applicable to each expiration time, then use the Black-Scholes formula to generate European option values and run them through Newton's method until a constant volatility matching each provided option price has been found.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | implied_volatilities_with_rates_struct(
option_price,
callput,
S0,
K,
discount_factor_fcn,
time,
const_default_intensity = 0,
divrate = 0,
borrow_cost = 0,
dividends = NULL,
relative_tolerance = 1e-06,
max.iter = 100,
max_vola = 4
)
|
option_price |
Present option values (may be a vector) |
callput |
1 for calls, -1 for puts (may be a vector) |
S0 |
initial underlying prices (may be a vector) |
K |
strikes (may be a vector) |
discount_factor_fcn |
A function for computing present values to
time |
time |
Time from |
const_default_intensity |
hazard rates of underlying default (may be a vector) |
divrate |
A continuous rate for dividends and other cashflows such as foreign interest rates (may be a vector) |
borrow_cost |
A continuous rate for stock borrow costs (may be a vector) |
dividends |
A |
relative_tolerance |
Relative tolerance in option price to achieve before halting the search |
max.iter |
Number of iterations to try before abandoning the search |
max_vola |
Maximum volatility to try in the search |
Differs from implied_volatility_with_term_struct
by first computing constant interest rates
for each option, and then calling implied_volatilities
Scalar volatilities
implied_volatility
for simpler cases with constant
parameters, implied_volatilities
for the underlying
algorithm with constant rates, implied_volatility_with_term_struct
when
volatilities or survival probabilities also have a nontrivial term structure
Other Implied Volatilities:
american_implied_volatility()
,
equivalent_bs_vola_to_jump()
,
equivalent_jump_vola_to_bs()
,
fit_variance_cumulation()
,
implied_jump_process_volatility()
,
implied_volatilities()
,
implied_volatility_with_term_struct()
,
implied_volatility()
Other European Options:
black_scholes_on_term_structures()
,
blackscholes()
,
implied_volatilities()
,
implied_volatility_with_term_struct()
,
implied_volatility()
Other Equity Independent Default Intensity:
american_implied_volatility()
,
american()
,
black_scholes_on_term_structures()
,
blackscholes()
,
equivalent_bs_vola_to_jump()
,
equivalent_jump_vola_to_bs()
,
implied_volatilities()
,
implied_volatility_with_term_struct()
,
implied_volatility()
1 2 3 4 |
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