QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
greeks.cpp File Reference
#include <ql/pricingengines/greeks.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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Namespaces

namespace  QuantLib
 

Functions

Real blackScholesTheta (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma)
 default theta calculation for Black-Scholes options More...
 
Real defaultThetaPerDay (Real theta)
 default theta-per-day calculation More...