/* -*- 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;

    }

}