PROC IMPVOL
SET NODOECHO
* PROGRAM TO COMPUTE BLACK-SCHOLES IMPLIED VOLATILITY
* INPUTS: [S] STOCK PRICE
*         [K] STRIKE PRICE
*         [R] INTEREST RATE, EXAMPLE .12
*         [TAU] TIME TO MATURITY IN YEARS, EXAMPLE .25
*         [C]  CALL PRICE
GENR STARTS_=ABS(LOG([S]/[K])+[R]*[TAU])*(2/[TAU])
GENR SIG_=SQRT(STARTS_)
?DO #=1,20
GENR D1_=(LOG([S]/[K])+([R]+SIG_*SIG_/2)*[TAU])/(SIG_*SQRT([TAU]))
GENR FN_=EXP(-D1_*D1_/2)/SQRT(2*3.14159)
GENR FPRIME_=[S]*SQRT([TAU])*FN_
GENR D2_=D1_-SIG_*SQRT([TAU])
GENR C_=[S]*NCDF(D1_)-[K]*EXP(-[R]*[TAU])*NCDF(D2_)
GENR SIG_=SIG_-(C_-[C])/FPRIME_
?ENDIF(ABS(C_-[C]).LT.0.00001)
ENDO
PRINT SIG_ C_ FPRIME_
PROCEND