black-scholes-model/lib/impliedVolatility.js

Complete plug and play Black-Scholes-Merton model for option pricing with features including implied volatility and Greeks.

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.impliedVolatility = void 0;
const optionPrice_1 = require("./optionPrice");
const bisection_1 = require("./utils/bisection");
const impliedVolatility = (params) => {
    const { K, S, derivativePrice, rf, t, type, highStartVol, lowStartVol, tolerance, iteration, } = params;
    if (!K || !S || !derivativePrice || !rf || !t) {
        throw new Error('Required fields were left empty');
    }
    const fn = (volatility) => {
        const optionParams = {
            S: S,
            K: K,
            rf: rf,
            sigma: volatility,
            t: t,
            type: type,
        };
        const price = (0, optionPrice_1.optionPrice)(optionParams);
        return price;
    };
    const bisectParams = {
        seekValue: derivativePrice,
        fn: fn,
        highStartVolatility: highStartVol || 5,
        lowStartVolatility: lowStartVol || 0.01,
        iterations: iteration || Math.pow(10, 3),
        tolerance: tolerance || Math.pow(10, -5),
    };
    const y = (0, bisection_1.bisection)(bisectParams);
    return y;
};
exports.impliedVolatility = impliedVolatility;
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