calculateImpliedVolatility: Calculate Option Values

In hgodinez/ibrokers: R API to Interactive Brokers Trader Workstation

Description

Using the IB API, calculates the implied volatility or option price given parameters.

Usage

calculateImpliedVolatility(twsconn, 
                           Contract, 
                           optionPrice, 
                           underPrice, 
                           reqId = 1)

calculateOptionPrice(twsconn, 
                     Contract, 
                     volatility, 
                     underPrice, 
                     reqId = 1)

Arguments

twsconn	A twsConnection object
Contract	A twsContract object
optionPrice	The option price from which to calculate implied
volatility	The volatility from which to calculate price
underPrice	The underlying price
reqId	The request id

Details

Both calls will use the IB described method for calculation. See the official API for documentation.

Value

A numeric value corresponding to the request

Author(s)

Jeffrey A. Ryan

References

http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/calculateimpliedvolatility.htm http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/calculateoptionprice.htm

hgodinez/ibrokers documentation built on May 17, 2019, 3:57 p.m.