am I correctly perceiving a weakness in FinancialDerivative[] ?
- To: mathgroup at smc.vnet.net
- Subject: [mg120712] am I correctly perceiving a weakness in FinancialDerivative[] ?
- From: Michael Stern <nycstern at gmail.com>
- Date: Sat, 6 Aug 2011 02:13:07 -0400 (EDT)
- Delivered-to: l-mathgroup@mail-archive0.wolfram.com
It would seem that one of the most natural uses of the new built-in
FinancialDerivative function would be to solve for its inputs. However,
the functions seems to be structured to make this impossible.
For example, given the price and other aspects of a European call
options, I tried to solve for implied volatility. No luck
NSolve[FinancialDerivative[{"European",
"Call"}, {"StrikePrice" -> 141,
"Expiration" -> .08}, {"InterestRate" -> 0.005,
"Volatility" -> x, "CurrentPrice" -> 142.}] == 6., x]
FinancialDerivative::checknumeric: Parameters {Volatility->x} cannot
have non-numeric values. >>
Is there some trick here I'm missing?
Michael Stern
Merrin Capital Management