Calculating The Greeks

This tutorial is one in a series that discusses Using CQG From Within MATLAB.

Specifically the downloadable file 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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