/// <summary>
///
/// </summary>
/// <param name="t"></param>
/// <param name="f"></param>
/// <param name="k"></param>
/// <param name="p"></param>
/// <param name="atm"></param>
/// <param name="pay"></param>
/// <returns></returns>
public static double GetImpliedVolatility(double t, double f, double k, double p, double atm, PayStyle pay)
{
const double tolerance = 0.000000001;
double result = atm;
for (int i = 0; i < 50; i++)
{
var fun = GetValue(t, f, k, result, pay) - p;
if (Math.Abs(fun) < tolerance)
{
return(result);
}
var f1 = GetValue(t, f, k, result + 0.00001, pay) - p;
var delta = -fun * 0.00001 / (f1 - fun);
result += 0.7 * delta;
//0.7 is a dampening factor
}
return(result);
}
