black-scholes-model/lib/utils/bisection.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.bisection = void 0;
const bisection = (params) => {
    const { fn, highStartVolatility, iterations, lowStartVolatility, seekValue, tolerance, } = params;
    let _a = lowStartVolatility;
    let _b = highStartVolatility;
    for (let i = 0; i < iterations; i++) {
        const c = (_a + _b) / 2;
        const y = fn(c);
        const error = Math.abs(y - seekValue);
        if (error === 0 || error < tolerance || (_b - _a) / 2 < tolerance) {
            return c;
        }
        if (y > seekValue) {
            _b = c;
        }
        else {
            _a = c;
        }
    }
};
exports.bisection = bisection;
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