LetsBeRational-1.0.0.0: European option implied vol calculation
Copyright(c) 2021 Ghais Issa
LicenseMIT
MaintainerGhais Issa <0x47@0x49.dev>
Safe HaskellNone
LanguageHaskell2010

LetsBeRational

Description

Haskell binding for Jaekel's "Let's be Rational" implied volatility calculation

Synopsis

Documentation

lbr Source #

Arguments

:: Int

1 for CALL -1 for PUT.

-> Double

Forward

-> Double

Strike

-> Double

Time to maturity

-> Double

Premium

-> Double

Implied vol.

Calculate implied volatility for a European option using Let's Be Rational.