- QuantLib
- VegaStressedBlackScholesProcess
 
Black-Scholes process which supports local vega stress tests. More...
#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>

| Public Member Functions | |
| VegaStressedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, Time lowerTimeBorderForStressTest=0, Time upperTimeBorderForStressTest=1000000, Real lowerAssetBorderForStressTest=0, Real upperAssetBorderForStressTest=1000000, Real stressLevel=0, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) | |
| StochasticProcess1D interface | |
| Real | diffusion (Time t, Real x) const | 
| interface for vega stress test | |
| Real | getLowerTimeBorderForStressTest () const | 
| void | setLowerTimeBorderForStressTest (Time LTB) | 
| Real | getUpperTimeBorderForStressTest () const | 
| void | setUpperTimeBorderForStressTest (Time UTB) | 
| Real | getLowerAssetBorderForStressTest () const | 
| void | setLowerAssetBorderForStressTest (Real LAB) | 
| Real | getUpperAssetBorderForStressTest () const | 
| void | setUpperAssetBorderForStressTest (Real UBA) | 
| Real | getStressLevel () const | 
| void | setStressLevel (Real SL) | 
Black-Scholes process which supports local vega stress tests.
Reimplemented from GeneralizedBlackScholesProcess.