Implied Volatility for FX Options

domokane / FinancePy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

GNU General Public License v3.0

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Implied Volatility for FX Options #53

Open domokane opened 3 years ago

domokane commented 3 years ago

The current FX implied volatility calculator uses Newton Raphson with an analytical first derivative (vega).

This has numerical issues for short-dated ITM options.

Needs to be fixed by converting ITM option to OTM using put call parity and then solving for that option with new implied price.

gpelleri commented 1 year ago

Hello Sir @domokane As far as I see, this hasn't been implemented yet ? If i'm correct, I would like so start working on it