Re: implied volatiliy and excel

["Joel Reymont" <joelr@xxxxxxxxxx>]

Jim,

Do you code your own systems in Java
and use them for trading? If you do, 
what do you use for a charting package?

    Thanks, Joel

-----Original Message-----
From: Jim Michael <genepool@xxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Saturday, April 17, 1999 6:20 PM
Subject: Re: implied volatiliy and excel


>
>
>On Sat, 17 Apr 1999, Maurice Zandbelt wrote:
>
>> I want to make a excel worksheet which calculates during trading hours,
>> the delta of the option which I sold short. Can somebody help me with
>> the formula to calculate the implied volatility or delta when I already
>> have the price of the option ?
>
>Here is my java code for calculating implied volatility using the 
>Newton-Raphson technique. It converges rapidly and should be easily 
>recoded in VBA.
>
>Cheers,
>
>Jim
>
>      public double impliedVolatility(double stockPrice, double 
>strikePrice, double timeToExpiration, double rate, double volatility, 
>double actualOptionPrice, boolean putFlag) {
>                double f1;
>                double f2;
>                double delta;
>                double loops=0;
>                double guess;
>                double testValue;
>                optionPrice q1;
>                optionPrice q2;
>                guess=volatility;
>                do {
>                        delta=guess+Math.exp(-5);
>                        q1=new optionPrice(stockPrice, strikePrice, 
>timeToExpiration, rate,guess+delta,putFlag);
>                        f1=actualOptionPrice-q1.blackScholesOptionPrice();
>                        q2=new optionPrice(stockPrice, strikePrice, 
>timeToExpiration, rate, guess,putFlag);
>                        f2=actualOptionPrice-q2.blackScholesOptionPrice();
>                        guess=guess-delta*(1/((f1-1)/f2));
>                        loops=loops+1;
>                        testValue=Math.abs(f2);
>                } while (testValue>.001 && loops<1000);
>                return guess;
>       }
>
>