Function black76_implied_vol
pub fn black76_implied_vol(
price: f64,
forward: f64,
strike: f64,
expiry: f64,
kind: OptionKind,
) -> Option<f64>Expand description
The Black-76 volatility implying price, by bisection.
A passive kernel. An implied volatility is a quoting convention — a
number read off a price — not a differentiable market input, so this takes
and returns plain f64 and there is no mode for it to record into. A caller
that wants a price carrying sensitivities prices forward through
black76 in the mode it cares about; a caller that wants the vol a price
implies gets a number.
Returns None when the price is outside the bounds the formula can
reproduce, rather than a volatility that does not imply it.