' Calculates the implied volatility of an european option, uses black scholes greeks.
Function option_e_implvola(Put_Call As String, S As Double, e As Double, Tmt As Double, r As Double, q As Double, O As Double) As Double

    Dim v As Double, dv As Double, dif As Double, vega As Double
    v = 0.3
    Dim n As Long
    Const nmax = 100
    Const ItError = 0.001
    n = 1
    
    dv = ItError + 1
    While (Abs(dv) > ItError) And (n <= nmax)
        dif = option_e(Put_Call, S, e, Tmt, r, q, v, "Price") - O
        vega = option_e(Put_Call, S, e, Tmt, r, q, v, "vega") / 0.01
        dv = dif / vega
        v = v - dv
        n = n + 1
    Wend
    
    If n <= nmax Then option_e_implvola = v Else option_e_implvola = -1

End Function