Skip to main content

black_76_implied_vol

Function black_76_implied_vol 

Source
pub fn black_76_implied_vol(
    option_type: &OptionType,
    forward: f64,
    strike: f64,
    time_to_expiry: f64,
    risk_free_rate: f64,
    market_price: f64,
) -> Option<f64>
Expand description

Solve for implied volatility under Black-76, given an observed market price. Returns None when the price violates no-arbitrage bounds or the solver fails to converge.