RQuantLib (version 0.4.24)

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, ...)

Value

None, but side effects of displaying content.

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

Author

Dirk Eddelbuettel for the R interface; the QuantLib Group for QuantLib

Details

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

References

https://www.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)