For a description of Greek risk measures please see the Greeks page in the Analytic Reference.
Theta is supported as an optional statistic in the MarkToMarket analytic.
When the Theta flag is checked in the "MarkToMarketDefinitions" configuration file Vector Risk calculates two forms of theta. The first value "SimpleTheta" is simply the change in value due to moving the value date one day forward; the second value "Theta" ignores any maturing cashflow so the result is consistent with the traditional "time value" notion of theta.
Delta, Gamma, Vega, Rho
The recommended approach for calculating these Greeks is to use stress testing. Here is a sample stress definition file with relevant parts expanded. This target of this particular example is a portfolio of equity options but the same principles can be applied to other products.
Note: The "Gamma" stress tests are simply the negative of the delta shift. The actual gamma is derived by formula from the delta and gamma stress results (see the Greeks section in the Analytic Reference for gamma formula).
