function volatility = blsimpv(S, X, r, T, value, varargin)
%BLSIMPV Black-Scholes implied volatility.
% Compute the implied volatility of an underlying asset from the market
% value of European call and put options using a Black-Scholes model.
%
% Volatility = blsimpv(Price, Strike, Rate, Time, Value)
% Volatility = blsimpv(Price, Strike, Rate, Time, Value, Limit, ...
% Yield, Tolerance, Class)
%
% Optional Inputs: Limit, Yield, Tolerance, Class.
%
% Inputs:
% Price - Current price of the underlying asset.
%
% Strike - Strike (i.e., exercise) price of the option.
%
% Rate - Annualized continuously compounded risk-free rate of return over
% the life of the option, expressed as a positive decimal number.
%
% Time - Time to expiration of the option, expressed in years.
%
% Value - Price (i.e., value) of a European option from which the implied
% volatility of the underlying asset is derived.
%
% Optional Inputs:
% Limit - Positive scalar representing the upper bound of the implied
% volatility search interval. If empty or missing, the default is 10,
% or 1000% per annum.
%
% Yield - Annualized continuously compounded yield of the underlying asset
% over the life of the option, expressed as a decimal number. For example,
% this could represent the dividend yield and foreign risk-free interest
% rate for options written on stock indices and currencies, respectively.
% If empty or missing, the default is zero.
%
% Tolerance - Positive scalar implied volatility termination tolerance.
% If empty or missing, the default is 1e-6.
%
% Class - Option class (i.e., whether a call or put) indicating the
% option type from which the implied volatility is derived. This may
% be either a logical indicator or a cell array of characters. To
% specify call options, set Class = true or Class = {'call'}; to specify
% put options, set Class = false or Class = {'put'}. If empty or missing,
% the default is a call option.
%
% Output:
% Volatility - Implied volatility of the underlying asset derived from
% European option prices, expressed as a decimal number. If no solution
% can be found, a NaN (i.e., Not-a-Number) is returned.
%
% Example:
% Consider a European call option trading at $10 with an exercise price
% of $95 and 3 months until expiration. Assume the underlying stock pays
% no dividends, is trading at $100, and the risk-free rate is 7.5% per
% annum. Furthermore, assume we are interested in implied volatilities
% no greater than 0.5 (i.e., 50% per annum). Under these conditions, any
% of the following commands
%
% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5)
% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5, 0, [], {'Call'})
% Volatility = blsimpv(100, 95, 0.075, 0.25, 10, 0.5, 0, [], true)
%
% return an implied volatility of 0.3130, or 31.30%, per annum.
%
% Notes:
% (1) The input arguments Price, Strike, Rate, Time, Value, Yield, and
% Class may be scalars, vectors, or matrices. If scalars, then that
% value is used to compute the implied volatility from all options. If
% more than one of these inputs is a vector or matrix, then the
% dimensions of all non-scalar inputs must be the same.
% (2) Ensure that Rate, Time, and Yield are expressed in consistent units
% of time.
%
% See also BLSPRICE, BLSDELTA, BLSGAMMA, BLSLAMBDA, BLSTHETA, BLSRHO.
% Copyright 1995-2010 The MathWorks, Inc.
%
% References:
% Hull, J.C., "Options, Futures, and Other Derivatives", Prentice Hall,
% 5th edition, 2003.
% Luenberger, D.G., "Investment Science", Oxford Press, 1998.
%
%
% Input argument checking & default assignment.
%
if nargin < 5
error(message('finance:blsimpv:TooFewInputs'))
end
if nargin > 9
error(message('finance:blsimpv:TooManyInputs'))
end
if any(value(:) < 0)
error(message('finance:blsimpv:NegativeValue'))
end
if (nargin < 6) || isempty(varargin{1})
limit = 10;
else
if varargin{1}(1) <= 0
error(message('finance:blsimpv:NonPositiveVolatility'))
end
limit = varargin{1}(1);
end
if (nargin < 7) || isempty(varargin{2})
q = zeros(size(S));
else
q = varargin{2};
end
blscheck(S, X, r, T, [], q);
if (nargin < 8) || isempty(varargin{3})
tol = 1e-6;
else
if varargin{3}(1) <= 0
error(message('finance:blsimpv:NonPositiveTolerance'))
end
tol = varargin{3}(1);
end
if (nargin < 9) || isempty(varargin{4})
optionClass = true(size(S)); % Denote TRUE = 1 ==> Call Options
else
%
% Allow some flexibility for the option class input specification (i.e.,
% whether the implied volatility is derived from the Black-Scholes
% pricing formula of call options or put options). For backward
% compatibility, the default still derives the implied volatility of
% the underlyer from the prices of CALL options.
%
% However, the following code allows users to indicate the option class
% by any of the following:
%
% (1) Logical values: 0 = Put, 1 = Call.
% (2) Cell arrays of character strings, in which a case-insensitive
% comparison is made of the first character of each element of the
% cell array with 'P' and 'C' for puts and calls, respectively.
% (3) Numeric values: 0 = Put, anything else = Call.
%
% The preferred methods are (1) and (2).
%
switch class(varargin{4})
case {'double' , 'logical' , 'single'}
optionClass = logical(varargin{4});
case 'cell'
optionClass = ~strncmpi(varargin{4}, 'P', 1);
otherwise
error(message('finance:blsimpv:InvalidOptionClass'))
end
end
%
% Perform scalar expansion & guarantee conforming arrays.
%
try
[S, X, r, T, value, q, optionClass] = finargsz('scalar', S, X, r, T, value, q, optionClass);
catch
error(message('finance:blsimpv:InconsistentDimensions'))
end
%
% Record array dimensions for output argument formatting.
%
[nRows, nCols] = size(S);
volatility = nan(nRows * nCols, 1);
%
% Convert to column vectors for intermediate processing.
%
[S, X, r, T, value, q, optionClass] = deal(S(:), X(:), r(:), ...
T(:), value(:), q(:), optionClass(:));
%
% Now estimate the implied volatility for each option.
%
options = optimset('fzero');
options = optimset(options, 'TolX', tol(1), 'Display', 'off');
for i = 1:length(volatility)
%
% Compute the implied volatility from option prices ONLY if the
% price of the underlying asset AND the option strike price AND
% the time to expiry of the option are greater than zero.
%
% Otherwise, return the implied volatility as a NaN, indicating
% that there is insufficient information to determine a unique
% solution. Note that these boundary conditions do NOT mean that
% the true volatility of the underlying asset is non-existent,
% only that we cannot determine a unique solution solely from
% option prices.
%
if (S(i) > 0) && (X(i) > 0) && (T(i) > 0)
try
[volatility(i), ~, exitFlag] = fzero(@objfcn, [0 limit], options, ...
S(i), X(i), r(i), T(i), value(i), q(i), optionClass(i));
if exitFlag < 0
volatility(i) = NaN;
end
catch
volatility(i) = NaN;
end
end
end
%
% Reshape the outputs for the user.
%
volatility = reshape(volatility, nRows, nCols);
%
% * * * * * * * Implied Volatility Objective Function * * * * * * *
%
function delta = objfcn(volatility, S, X, r, T, value, q, optionClass)
%OBJFCN Implied volatility objective function.
% The objective function is simply the difference between the specified
% market value, or price, of the option and the theoretical value derived
% from the Black-Scholes model.
%
[callValue, putValue] = blsprice(S, X, r, T, volatility, q);
if optionClass
delta = value - callValue;
else
delta = value - putValue;
end
MATLAB里面的函数blsimpv。。