greeks.hpp

Langue: en

Autres versions - même langue

Version: 373849 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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

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