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greeks.hpp
Langue: en
Version: 152626 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/greeks.hpp - default greek calculationsSYNOPSIS
#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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