README.md

In jasonyip184/b76: Compute and Plot Implied Volatility for Black-76

b76

Black-76 model: https://www.glynholton.com/notes/black_1976/

R package to compute the Implied Volatility and plot the Volatility Skew using the Black-76 option pricing model.

1. Download the tar.gz into any folder
2. Open terminal and ensure R is added to PATH
3. Enter “R CMD INSTALL path to folder/[b76_0.1.0.tar]” without the quotation marks
4. Open R and load package with library(b76)
5. Call getImpliedVolatility(df,date,mode) or plotImpliedVolatility(df,date,mode)

jasonyip184/b76 documentation built on May 28, 2019, 7:35 a.m.