UNPKG

@volare.finance/volare.js

Version:

The SDK for Volare Protocol

github.com/VolareDeFi/volare.js

VolareDeFi/volare.js

19 lines (18 loc) • 933 B
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
/** * @file greeks.ts * @description Determine implied volatility of options based on their prices. * @author astra <astra@volare.finance> * @date 2022 */ /** * @description Calculate a close estimate of implied volatility given an option price. A binary search type approach is used to determine the implied volatility. * @param {Number} expectedCost The market price of the option * @param {Number} s Current price of the underlying * @param {Number} k Strike price * @param {Number} t Time to expatriation in years * @param {Number} r Annual risk-free interest rate as a decimal * @param {Boolean} isPut The type of option priced * @param {Number} [estimate=.1] An initial estimate of implied volatility * @returns {Number} The implied volatility estimate */ export declare function getImpliedVolatility(expectedCost: number, s: number, k: number, t: number, r: number, isPut: boolean, estimate?: number): number;