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black76_implied_vol

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.