com.opengamma.strata.pricer.impl.option

Class GenericImpliedVolatiltySolver

java.lang.Object

com.opengamma.strata.pricer.impl.option.GenericImpliedVolatiltySolver

public class GenericImpliedVolatiltySolver
extends Object

Finds an implied volatility (a parameter that put into a model gives the market pirce of an option) for any option pricing model that has a 'volatility' parameter. This included the Black-Scholes-Merton model (and derivatives) for European options and Barone-Adesi & Whaley and Bjeksund and Stensland for American options.

Constructor Summary

Constructors

Constructor and Description
GenericImpliedVolatiltySolver(Function<Double,double[]> priceAndVegaFunc) Creates an instance.
GenericImpliedVolatiltySolver(Function<Double,Double> priceFunc, Function<Double,Double> vegaFunc) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	impliedVolatility(double optionPrice) Computes the implied volatility.
double	impliedVolatility(double optionPrice, double volGuess) Computes the implied volatility.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GenericImpliedVolatiltySolver

public GenericImpliedVolatiltySolver(Function<Double,double[]> priceAndVegaFunc)

Creates an instance.

Parameters:

priceAndVegaFunc - the combined price and vega function

GenericImpliedVolatiltySolver

public GenericImpliedVolatiltySolver(Function<Double,Double> priceFunc,
                                     Function<Double,Double> vegaFunc)

Creates an instance.

Parameters:

priceFunc - the pricing function

vegaFunc - the vega function

Method Detail

impliedVolatility

public double impliedVolatility(double optionPrice)

Computes the implied volatility.

Parameters:

optionPrice - the option price

Returns:

the volatility

impliedVolatility

public double impliedVolatility(double optionPrice,
                                double volGuess)

Computes the implied volatility.

Parameters:

optionPrice - the option price

volGuess - the initial guess

Returns:

the volatility