default greek calculations More...
#include <ql/processes/blackscholesprocess.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 |
default greek calculations