ql/pricingengines/greeks.hpp File Reference
Detailed Description
default greek calculations
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for greeks.hpp:

Namespaces | |
namespace | QuantLib |
Functions | |
Real | blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) |
default theta calculation for Black-Scholes options | |
Real | defaultThetaPerDay (Real theta) |
default theta-per-day calculation |