greeks.cpp File Reference

#include <ql/pricingengines/greeks.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

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...