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greeks.hpp File Reference

Detailed Description

default greek calculations

Definition in file greeks.hpp.

#include <ql/Processes/blackscholesprocess.hpp>

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namespace  QuantLib


Real QuantLib::blackScholesTheta (const boost::shared_ptr< BlackScholesProcess > &, Real value, Real delta, Real gamma)
 default theta calculation for Black-Scholes options
Real QuantLib::defaultThetaPerDay (Real theta)
 default theta-per-day calculation

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