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