refine_vol_and_greeks

nautilus_model::data::greeks

Function refine_vol_and_greeks 

Source 
pub fn refine_vol_and_greeks(
    s: f64,
    r: f64,
    b: f64,
    is_call: bool,
    k: f64,
    t: f64,
    target_price: f64,
    initial_vol: f64,
    multiplier: f64,
) -> BlackScholesGreeksResult
Expand description

Refines implied volatility using an initial guess and computes greeks. This function uses compute_iv_and_greeks which performs a Halley iteration to refine the volatility estimate from an initial guess.