Definition of classes that are used to construct risk reports about options PV and Greeks. More...

Classes
class	julian::OptionDelta
	Calculates option's delta. More...

class	julian::OptionGamma
	Calculates option's gamma. More...

struct	julian::GreeksIntermediateResults
	Data structure holding the PV and Greeks. More...

class	julian::OptionGreeks
	Interface for OptionGreeks decorator. More...

class	julian::BuildGreeksReport
	Option Greeks builder. More...

class	julian::OptionGreeksDecorator
	Interface for classes decorating Option Greeks. More...

class	julian::OptionPV
	Calculates PV. More...

class	julian::OptionTheta
	Calculates option's theta. More...

class	julian::OptionVanna
	Calculates option's Vanna. More...

class	julian::OptionVega
	Calculates option's vega. More...

class	julian::OptionVolga
	Calculates option's Volga. More...

Detailed Description

Definition of classes that are used to construct risk reports about options PV and Greeks.

Module contains definition of classes that are used to construct risk reports about options PV and Greeks. The OptionGreeks are implemented as Decorator (Decorator). The basic report, calculating and maintaining only the PV of the option, is decorated with modules calculating different Greeks.

Classes

Detailed Description