Logo Search packages:      
Sourcecode: quantlib version File versions

greeks.hpp File Reference


Detailed Description

default greek calculations

Definition in file greeks.hpp.

#include <ql/stochasticprocess.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Functions

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


Generated by  Doxygen 1.6.0   Back to index