Vega ( IDataHolder Underlying Price , IDataHolder Volatility );
Default values:
Underlying Price: close(getUnderlyingSymbol())
Volatility: imp_volatility(getUnderlyingSymbol())
Description
Calculates the vega option greek.
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| Underlying Price | close(getUnderlyingSymbol()) | Defines price to be used in calculation of vega. |
| Volatility | imp_volatility(getUnderlyingSymbol()) | Defines volatility to be used in calculation of vega. |
Example
declare lower;
def epsilon = 0.01 * imp_volatility(GetUnderlyingSymbol());
plot approxVega = (OptionPrice(Volatility = imp_volatility(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon / 100;
plot Vega = vega();
This example illustrates the approximate calculation of vega by dividing a change in the theoretical option price by a change in implied volatility of the underlying.