Smile.Implicitation.AmericanImpliedVolatilitySolver

Classes

AmericanImpliedVolatilitySolver(...)	Class to compute the implied volatility associated to an american option quotation.
BlackScholesAmericanOptionPricer
IDiscountRateCurveInterpolator	General interface to interpolate a discount rate curve.
IImpliedVolatilitySolver	General interface to compute the implied volatility associated to an option quotation.
OptionQuotation(...)	Container class to represent the notion of an option quotation
PricingParameters(n: int, l: int, m: int, ...)	Class that contains the numerical parameters to be passed to the american pricer

class Smile.Implicitation.AmericanImpliedVolatilitySolver.AmericanImpliedVolatilitySolver(underlying_level: float, discount_rate_curve_interpolator: Rates.IDiscountRateCurveInterpolator.IDiscountRateCurveInterpolator, pricing_parameters: Pricing.PV.PricingParameters.PricingParameters)

Class to compute the implied volatility associated to an american option quotation.

Parameters:

underlying_level : float

The market value of the option underlying.

discount_rate_curve_interpolator : IDiscountRateCurveInterpolator

A time interpolation of the discount rate curve

pricing_parameters : PricingParameters

The numerical parameters for the american option pricer

Methods

solve(...)

Solve for the implied volatility given an option quotation.

solve(option_quotation: Smile.Implicitation.OptionQuotation.OptionQuotation) → float

Solve for the implied volatility given an option quotation.

Parameters:

option_quotation : OptionQuotation

Characteristics and quotation of an option.

Returns:

implied_volatility : float

The implied volatility of the option