Implied Volatility for FX Options

Open domokane opened this issue 5 years ago • 1 comments

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.

Dec 27 '20 17:12 domokane

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

Mar 09 '23 13:03 gpelleri