Module quantmath::risk::vegavolga

Structs

VegaVolga
VegaVolgaReport	Vega is the first derivative of price with respect to the volatility value of an underlying. Volga is the second derivative. This report shows the vega and volga with respect to each of the underlyings that affect the price. Note that the price is dependant on variance rather than volatility, so there is some flexibility in what we choose to define as volatility. We use the volatilities as used internally by the vol surface. See data::voldecorators for details.
VegaVolgaReportGenerator	Calculator for vega and volga by bumping. The bump size is specified as a fraction of the current spot.