// Bisection Algorithm for Black Scholes Implied Volatility =================================================================================
public double BisectionMSIV(double S, double K, double r, double q, double T, double a, double b, double MktPrice, double Tol, int MaxIter, double B, double dt)
{
MSPrices MS = new MSPrices();
double lowPrice = MS.MSPriceBS(S, K, T, a, r, q, MaxIter, Tol, B, dt);
double highPrice = MS.MSPriceBS(S, K, T, b, r, q, MaxIter, Tol, B, dt);
double lowCdif = MktPrice - lowPrice;
double highCdif = MktPrice - highPrice;
double y = 0.0;
double midP;
if (lowCdif * highCdif > 0.0)
{
y = -1.0;
}
else
{
for (int x = 0; x <= MaxIter; x++)
{
midP = (a + b) / 2.0;
double midCdif = MktPrice - MS.MSPriceBS(S, K, T, midP, r, q, MaxIter, Tol, B, dt);
if (Math.Abs(midCdif) < Tol)
{
break;
}
else
{
if (midCdif > 0.0)
{
a = midP;
}
else
{
b = midP;
}
}
y = midP;
}
}
return(y);
}
