Vega

Vega ( IDataHolder Volatility );

Default values:

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.