QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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... | |