RQuantLib (version 0.3.6)

ImpliedVolatility: Base class for option-price implied volatility evalution

Description

This class forms the basis from which the more specific classes are derived.

Usage

## S3 method for class 'ImpliedVolatility':
print(x, digits=3, ...)
## S3 method for class 'ImpliedVolatility':
summary(object, digits=3, ...)

Arguments

x

Any option-price implied volatility object derived from this base class

object

Any option-price implied volatility object derived from this base class

digits

Number of digits of precision shown

...

Further arguments

Value

• None, but side effects of displaying content.

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.

References

http://quantlib.org for details on QuantLib.

See Also

AmericanOptionImpliedVolatility, EuropeanOptionImpliedVolatility, AmericanOption,EuropeanOption, BinaryOption

Examples

impVol<-EuropeanOptionImpliedVolatility("call", value=11.10, strike=100, volatility=0.4, 100, 0.01, 0.03, 0.5)
print(impVol)
summary(impVol)