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

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).

Fri Sep 23 2016 Version 1.8.1 QuantLib