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

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 |
Detailed Description
default greek calculations