volatility

C++ code that uses the Newton-Raphson method to approximate the implied volatility of a call option.

Usage

Historical

Compile with the following command:

g++ volatility.cpp -std=c++17 -o vol

Usage (replace INITIAL_GUESS with initial volatility guess - recommended value is 1):

./vol ./cleanestcalls.csv INITIAL_GUESS

Current

To quickly analyze current data, run get.py with python3 get.py.

Note that this uses Yahoo Finance's calculated implied volatility — previous testing has shown that this program and Yahoo finance produce very similar numbers when given the same input and therefore no extra calculation (and data processing) is necessary.