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/* -*- 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
<https://www.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.
*/
#include <ql/pricingengines/greeks.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
Real blackScholesTheta(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& p,
Real value, Real delta, Real gamma) {
Real u = p->stateVariable()->value();
Rate r = p->riskFreeRate()->zeroRate(0.0, Continuous);
Rate q = p->dividendYield()->zeroRate(0.0, Continuous);
Volatility v = p->localVolatility()->localVol(0.0, u);
return r*value -(r-q)*u*delta - 0.5*v*v*u*u*gamma;
}
Real defaultThetaPerDay(Real theta) {
return theta/365.0;
}
}
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