External module "ql/pricingengines/greeks"

Index

Functions

Functions

blackScholesTheta

blackScholesTheta(p: GeneralizedBlackScholesProcess, value: Real, delta: Real, gamma: Real): Real

- Defined in ql/pricingengines/greeks.ts:12
default theta calculation for Black-Scholes options

Parameters
- p: GeneralizedBlackScholesProcess
- value: Real
- delta: Real
- gamma: Real
Returns Real

defaultThetaPerDay

defaultThetaPerDay(theta: Real): Real

- Defined in ql/pricingengines/greeks.ts:30
default theta-per-day calculation

Parameters
- theta: Real
Returns Real