mafipy.calibrator.black_scholes_implied_vol¶
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mafipy.calibrator.black_scholes_implied_vol(underlying, strike, rate, maturity, option_value, vol_min=0.0001, vol_max=6.0, max_iter=2000)[source]¶ calculates implied volatility of black schoels model by brent method.
Parameters: - underlying (float) –
- strike (float) –
- rate (float) –
- maturity (float) –
- option_value (float) – value of option.
- vol_min (float) – lower bound of volatility. default value is 1e-4.
- vol_max (float) – upper bound of volatility. default value is 6.0.
- max_iter (int) – maximum number of iterations. default value is 2000.
Returns: implied volatility.
Return type: float.