| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
Q.Options.ImpliedVol.Normal
Synopsis
- data Method
- euImpliedVol :: OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol
- euImpliedVolWith :: Method -> OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol
- euImpliedVolWith' :: Method -> OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol
- sqrtEpsilon :: Double
- h :: Floating p => p -> p
Documentation
Method to use to calculate the normal implied vol.
Constructors
| Jackel | Jackel analytical formula approximation. |
| ChoKimKwak | J. Choi, K kim, and M. Kwak (2009) | Numerical root finding. Currently Ridders is used. |
| RootFinding | |
euImpliedVol :: OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol Source #
Default method implementation of euImpliedVolWith using Jackel.
euImpliedVolWith :: Method -> OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol Source #
Calcualte the bachelier option implied vol of a european option.
If the options premium does not have time value hasTimeValue
euImpliedVolWith' :: Method -> OptionType -> Forward -> Strike -> YearFrac -> Rate -> Premium -> Vol Source #
sqrtEpsilon :: Double Source #