Module quantmath::risk::deltagamma [−][src]
Structs
DeltaGamma | |
DeltaGammaReport |
Delta is the first derivative of price with respect to the spot value of an underlying. Gamma is the second derivative. This report shows the delta and gamma with respect to each of the underlyings that affect the price. |
DeltaGammaReportGenerator |
Calculator for delta and gamma by bumping. The bump size is specified as a fraction of the current spot. |