Calculating The Greeks
This tutorial is one in a series that discusses Using CQG From Within MATLAB.
Specifically the downloadable file CQGImpVolAndGreeks.zip contains a sample m-file, showing how to connect to the CQG API from MATLAB. The file shows how to create a custom MATLAB class for instantiating the CQG connection, with methods for starting and stopping the data collection.
This particular example is a reworking of a portion of the CQG-MATLAB API example called Consolidated Example available from the CQG API web site. The example subscribes to an instrument that is an option on a future, obtains data for the underlying future, then calculates the implied volatility and sensitivities at settlement.
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