RQuantLib (version 0.4.7)

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 ImpliedVolatility
print(x, digits=3, ...)
# S3 method for 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

# NOT RUN {
impVol<-EuropeanOptionImpliedVolatility("call", value=11.10, strike=100,
                                        volatility=0.4, 100, 0.01, 0.03, 0.5)
print(impVol)
summary(impVol)
# }

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