QuantLib_VegaStressedBlackScholesProcess man page

VegaStressedBlackScholesProcess — Black-Scholes process which supports local vega stress tests.  

Synopsis

#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Member Functions

VegaStressedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, 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
returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $

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)

Additional Inherited Members

Detailed Description

Black-Scholes process which supports local vega stress tests.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages getLowerAssetBorderForStressTest(3), getLowerTimeBorderForStressTest(3), getStressLevel(3), getUpperAssetBorderForStressTest(3), getUpperTimeBorderForStressTest(3), setLowerAssetBorderForStressTest(3), setLowerTimeBorderForStressTest(3), setStressLevel(3), setUpperAssetBorderForStressTest(3), setUpperTimeBorderForStressTest(3) and VegaStressedBlackScholesProcess(3) are aliases of QuantLib_VegaStressedBlackScholesProcess(3).

Wed Aug 2 2017 Version 1.10 QuantLib