calculateImpliedVolatility: Calculate Option Values

In joshuaulrich/IBrokers: R API to Interactive Brokers Trader Workstation

Calculate Option Values

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

https://interactivebrokers.github.io/tws-api/classIBApi_1_1EClient.html#a04c5d248c1036dd72435cc1edc7c58e2 https://interactivebrokers.github.io/tws-api/classIBApi_1_1EClient.html#a7afa53b655542e74ede683e1de2b2fc4

joshuaulrich/IBrokers documentation built on Feb. 4, 2024, 2:16 a.m.