List of impliedVolatility() Examples

Examples of 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.
org.jquantlib.helpers.FDAmericanDividendOptionHelper.impliedVolatility()
org.jquantlib.helpers.FDEuropeanDividendOptionHelper.impliedVolatility()
org.jquantlib.instruments.VanillaOption.impliedVolatility()
Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give inconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)
Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

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

            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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Examples of org.jquantlib.helpers.FDAmericanDividendOptionHelper.impliedVolatility()

        final double vega  = option.vega();
        final double rho   = option.rho();


        // market price: simply guess something 10% higher than theoretical
        //FIXME
        final double ivol = option.impliedVolatility(value*1.10);


        if (!quiet) {
            QL.info(String.format("value       = %13.9f", value));
            QL.info(String.format("delta       = %13.9f", delta));
            QL.info(String.format("gamma       = %13.9f", gamma));

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Examples of org.jquantlib.helpers.FDEuropeanDividendOptionHelper.impliedVolatility()

        final double vega   = option.vega();
        final double rho    = option.rho();


        // market price: simply guess something 10% higher than theoretical
        //FIXME
        final double ivol = option.impliedVolatility(value*1.10);


        if (!quiet) {
            QL.info(String.format("value       = %13.9f", value));
            QL.info(String.format("delta       = %13.9f", delta));
            QL.info(String.format("gamma       = %13.9f", gamma));

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Examples of org.jquantlib.instruments.VanillaOption.impliedVolatility()

                                            // flat price vs vol --- pointless (and
                                            // numerically unstable) to solve
                                            continue;
                                        }


                                        implVol = option.impliedVolatility(value, process, tolerance, maxEvaluations);


                                        if (Math.abs(implVol-v) > tolerance) {
                                            // the difference might not matter
                                            vol.setValue(implVol);
                                            final double value2 = option.NPV();

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Examples of org.jquantlib.instruments.VanillaOption.impliedVolatility()

                                            // flat price vs vol --- pointless (and
                                            // numerically unstable) to solve
                                            continue;
                                        }


                                        implVol = option.impliedVolatility(value, process, tolerance, maxEvaluations);


                                        if (Math.abs(implVol-v) > tolerance) {
                                            // the difference might not matter
                                            vol.setValue(implVol);
                                            final double value2 = option.NPV();

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