Struct ImpliedBlackVolatility 

pub struct ImpliedBlackVolatility { /* private fields */ }

Builder-backed container that represents the inputs required to compute the implied Black volatility for an undiscounted European option.

Use the generated ImpliedBlackVolatility::builder() to construct this type. The builder performs input validation when you call .build(). Or use .build_unchecked() to skip validation.

Fields:

• forward: forward price of the underlying (F). Must be finite and > 0.
• strike: strike price (K). Must be finite and > 0.
• expiry: time to expiry (T). Must be finite and >= 0.
• is_call: true for a call option, false for a put option.
• option_price: observed undiscounted option price (P). Must be finite and >= 0.

This struct is consumed by calculate::<SpFn>() which performs the numerical inversion BS(F, K, T, σ) = P to find the implied volatility σ.

Implementations

impl ImpliedBlackVolatility

pub const fn builder() -> ImpliedBlackVolatilityBuilder

Create an instance of ImpliedBlackVolatility using the builder syntax

impl ImpliedBlackVolatility

pub fn calculate<SpFn: SpecialFn>(&self) -> Option<f64>

Compute the implied Black volatility σ for the stored inputs.

Returns:

• Some(σ) if an implied volatility consistent with BS(F, K, T, σ) = P exists, and the numerical routine converges to a finite value.
• None if the given option_price is outside the attainable range for the supplied model parameters.

Type parameter

• SpFn: SpecialFn — implementation of the SpecialFn trait used for internal special-function computations. Use DefaultSpecialFn for the crate-provided default behavior, or supply your own implementation to change numerical characteristics.

Examples

use implied_vol::{DefaultSpecialFn, ImpliedBlackVolatility};

let iv = ImpliedBlackVolatility::builder()
    .option_price(10.0)
    .forward(100.0)
    .strike(100.0)
    .expiry(1.0)
    .is_call(true)
    .build().unwrap();

let sigma = iv.calculate::<DefaultSpecialFn>().unwrap();
assert!(sigma.is_finite());