VegaStressedBlackScholesProcess Class Reference

Black-Scholes process which supports local vega stress tests. More...

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

Inheritance diagram for VegaStressedBlackScholesProcess:

List of all members.

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
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)

Detailed Description

Black-Scholes process which supports local vega stress tests.


Member Function Documentation

Real diffusion ( Time  t,
Real  x 
) const [virtual]
Possible enhancements:
revise extrapolation

Reimplemented from GeneralizedBlackScholesProcess.