NAME

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

Generated automatically by Doxygen for QuantLib from the source code.