greeks.hpp File Reference

default greek calculations More...

#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...

Detailed Description

default greek calculations

Definition in file greeks.hpp.