Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.BjerksundStenslandModel.impliedVolatility()

com.opengamma.analytics.financial.model.option.pricing.analytic.BjerksundStenslandModel.impliedVolatility()
Get the implied volatility according to the Bjerksund & Stensland (2002) approximation for the price of an American option quoted in the market. It is the number that put into the Bjerksund & Stensland (2002) approximation gives the market price. This is not the same as the Black implied volatility (which is only applicable to European options), although it may be numerically close. @param price The market price of an American option @param s0 The spot @param k The strike @param r The risk-free rate @param b The cost-of-carry @param t The time-to-expiry @param isCall true for calls @return The (Bjerksund & Stensland (2002)) implied volatility.

            if (quoteTypeIsCallPutStrike) {
              optionIsCall = strike > callAboveStrike ? true : false;
            }
            final double vol;
            if (isAmerican) {
              vol = americanModel.impliedVolatility(price, spot, strike, -Math.log(zerobond) / t, Math.log(forward / spot) / t, t, optionIsCall);
            } else {
              final double fwdPrice = price / zerobond;
              vol = BlackFormulaRepository.impliedVolatility(fwdPrice, forward, strike, t, optionIsCall);
            }
            tList.add(t);

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