greeks.hpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file greeks.hpp
    \brief default greek calculations
*/
 
#ifndef quantlib_greeks_hpp
#define quantlib_greeks_hpp
 
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! default theta calculation for Black-Scholes options
    Real blackScholesTheta(
                     const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
                     Real value, Real delta, Real gamma);
 
    //! default theta-per-day calculation
    Real defaultThetaPerDay(Real theta);
 
}
 
 
#endif