Get Implied Volatility in QuantLib C++

[Oleksandr]

Hi, I need an assistance with c++ quantlib. I want to get implied volatility from BSM model if I know option value, strike, date , etc. Get I do that using QuantLib? (I don't want to write a function which solves integral equation)

 

[Daniel Duffy]

You don't use an integral equation! It is a nonlinear equation using Newton or bisection. It is a novice challenge and easy.

See Haug's complete Options book.

 

[Oleksandr]

Thank you very much for your advice!

 

[Daniel Duffy]

You're welcome.
Here's a nice detailed discussion on this very topic

iv for all and all for iv - Page 7 - wilmott.com