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Implied Volatility for FX Options #53

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domokane opened this issue Dec 27, 2020 · 1 comment

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Finance Quant good first issue

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domokane commented Dec 27, 2020

The current FX implied volatility calculator uses Newton Raphson with an analytical first derivative (vega).

This has numerical issues for short-dated ITM options.

Needs to be fixed by converting ITM option to OTM using put call parity and then solving for that option with new implied price.

domokane added Finance Quant good first issue labels

Contributor

gpelleri commented Mar 9, 2023

Hello Sir @domokane
As far as I see, this hasn't been implemented yet ?
If i'm correct, I would like so start working on it

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