Calculate Black-Scholes implied volatility.
Calculates implied volatility from supplied spot, forward, strike, maturity, discount factor, claim type, and option price. Maturity is interpreted as days using a 365-day year. This synchronous operation is read-only.
Authorizations
OAuth2 access-token requested from AWS Cognito and provided as a Auth Bearer header
Body
JSON request with Spot, Forward, Strike, Price, and DiscountFactor in mutually consistent price or discount units; integer Maturity in days; and string ClaimType (existing examples use C). Positive ranges, arbitrage bounds, and the accepted claim-type set are not specified here.
Option inputs used to solve for a Black-Scholes implied volatility.
Derivitec.Web.Core.Tradables.ApiGetBlackScholesImpliedVolRequest, Derivitec.Web.Core Spot value supplied to the implied-volatility calculation.
Forward value supplied to the implied-volatility calculation.
Option strike supplied to the implied-volatility calculation.
Option maturity measured in days.
Discount factor supplied to the implied-volatility calculation.
Option claim-type text understood by the implied-volatility calculation; allowed tokens are not constrained here.
Option price whose implied volatility is requested; quotation convention is not defined here.
Response
Returns ImpliedVol on success, or IsSuccess = false with a calculation error.
Response envelope for an implied volatility calculated from the supplied option price and Black-Scholes inputs.
Derivitec.Web.Core.Tradables.ApiGetBlackScholesImpliedVolResponse, Derivitec.Web.Core Whether the operation completed successfully. The default is true; error outcomes set it to false.
true
Messages explaining operation-level failures. The collection is empty by default.
Calculated implied-volatility value when the request succeeds; scale is not defined by this contract.