def calc_impliedVolatility(cls, optPx, F, K, r, tau, isCall=True, q=0):
if isCall:
return iv.implied_volatility(optPx, F, K, r, tau, "c")
else:
return iv.implied_volatility(optPx, F, K, r, tau, "p")
def lam_pyvol(r):
try:
return implied_volatility.implied_volatility(r.close_x, r.close_y,
r.strike, .02,
r.dte / 365, r.pc.lower())
except:
return -1
def _test_py_vollib():
#CL,Q2019,560P,07/02/2019,0.6,1.61,0.54,1.54,1997,4465
F = 56.25
K = 56
sigma = .366591539
flag = 'p'
t = 15 / 365.0
r = .025
discounted_call_price = black.black(flag, F, K, t, r, sigma)
dcp = 1.54
ivpy = implied_volatility.implied_volatility(dcp, F, K, r, t, flag)
ivmn = mibian.BS([F, K, 2.5, 15], callPrice=dcp).impliedVolatility
discounted_call_price, ivpy, ivmn
def blackIV(df, F=None, rf=None):
if F is None: F = df['F']
if rf is None: rf = .02
try:
iv = implied_volatility(
discounted_option_price=df['Mid'], # change to 'Mid'
F=F,
K=df['Strike'],
r=rf,
t=df['BDTE'] / 252,
flag=df['Flag'])
except:
iv = np.nan
return iv
def iv(self, option_obj, asset_price, timestamp, expiration,
call_put_flag):
discounted_option_price = self.option_price(ask=option_obj.ask,
bid=option_obj.bid)
F = asset_price
K = option_obj.strike
r = self.risk_free_rate
t = self.time_2_expiration(timestamp, expiration)
flag = call_put_flag
try:
iv = vollib_iv.implied_volatility(discounted_option_price, F, K, r,
t, flag)
except Exception as e:
print(e)
iv = 0
return iv