20#include <ql/pricingengines/greeks.hpp>
21#include <ql/processes/blackscholesprocess.hpp>
26 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p,
29 Real u = p->stateVariable()->value();
32 Volatility v = p->localVolatility()->localVol(0.0, u);
34 return r*value -(r-q)*u*delta - 0.5*v*v*u*u*gamma;
Real Volatility
volatility
Real defaultThetaPerDay(Real theta)
default theta-per-day calculation
Real blackScholesTheta(const ext::shared_ptr< GeneralizedBlackScholesProcess > &p, Real value, Real delta, Real gamma)
default theta calculation for Black-Scholes options