greeks.hpp File Reference

default greek calculations More...

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
 

Detailed Description

default greek calculations