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hub / github.com/MarcusRainbow/QuantMath / ImpliedVol

Class ImpliedVol

src/solvers/impliedvol.rs:13–16  ·  view source on GitHub ↗

Solves for implied volatility given a pricer. The pricer can be anything that gives a price with dependence on volatility, but analytic pricers work better, as the solution requires a non-noisy objective function. Internally, this solver uses Brent.

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