blackscholestheta(3)

ql/pricingengines/greeks.hpp – default greek calculations

Synopsis

#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

Detailed Description

default greek calculations

Author

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