Implied volatility for commodity options?

[Ken Anderson-2]

Is there a way using QuantLib to determine the implied volatility of  
a commodity option when the option price (as well as the other  
inputs) is known?

[Xavier.Abulker]

Hello Ken,
This might be wrong but on my side I'm using the black model on commodity futures options. Here the commodity is equivalent to an equity future.
I think this is the standard on the market.
Then I'm using impliedVolatility

(See http://www.quantlib.org/reference/class_quant_lib_1_1_one_asset_option.html#666ea233367515877c45d2c9c7ec5121)
Do you have something else in mind?

 

Ken Anderson <[hidden email]>
Sent by: [hidden email]

17/02/2006 21:58

To	[hidden email]
cc
Subject	[Quantlib-users] Implied volatility for commodity options?

Is there a way using QuantLib to determine the implied volatility of  
a commodity option when the option price (as well as the other  
inputs) is known?


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[Ken Anderson-2]

Xavier,

Thanks.  Yes, I'm using Black-76 (Black) for everything else - I just could not find the implied calculation (still learning how to navigate the doc).

Ken

On Feb 20, 2006, at 3:29 AM, [hidden email] wrote:

Hello Ken,
This might be wrong but on my side I'm using the black model on commodity futures options. Here the commodity is equivalent to an equity future.
I think this is the standard on the market.
Then I'm using impliedVolatility

(See http://www.quantlib.org/reference/class_quant_lib_1_1_one_asset_option.html#666ea233367515877c45d2c9c7ec5121)
Do you have something else in mind?

 

Ken Anderson <[hidden email]>
Sent by: [hidden email]

17/02/2006 21:58

To	[hidden email]
cc
Subject	[Quantlib-users] Implied volatility for commodity options?

Is there a way using QuantLib to determine the implied volatility of  
a commodity option when the option price (as well as the other  
inputs) is known?


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