derivitec.core.client.DerivitecClient.get_blackscholes_implied_vol

DerivitecClient.get_blackscholes_implied_vol(spot, forward, strike, maturity, discount_factor, claim_type, price)[source]

Get Black Scholes implied vol for european option

Parameters:

  • spot (float) – the underling spot

  • forward (float) – the forward

  • strike (float) – the strike

  • maturity (int) – The maturity in days

  • discount_factor (float)

  • claim_type (str) – option claim type

  • price (float) – option price

Return type:

derivitec.tradables.response.ApiGetDiscountFactorsResponse

Code

>>> spot = 100
>>> forward = 100
>>> strike = 100
>>> maturity = 365
>>> discount_factor = 0.9
>>> claim_type = 'C'
>>> price = 5.4
>>> client.get_blackscholes_implied_vol(spot, forward, strike, maturity, discount_factor, claim_type, price)