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Public Member Functions | Protected Attributes | Private Attributes

QuantLib::VegaStressedBlackScholesProcess Class Reference

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

#include <vegastressedblackscholesprocess.hpp>

Inheritance diagram for QuantLib::VegaStressedBlackScholesProcess:
Inheritance graph
Collaboration diagram for QuantLib::VegaStressedBlackScholesProcess:
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List of all members.

Public Member Functions

void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
Time time (const Date &) const
void unregisterWith (const boost::shared_ptr< Observable > &)
 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)
StochasticProcess1D interface
Real x0 () const
 returns the initial value of the state variable
Real drift (Time t, Real x) const
Real apply (Real x0, Real dx) const
Real expectation (Time t0, Real x0, Time dt) const
Real evolve (Time t0, Real x0, Time dt, Real dw) const
Observer interface
void update ()
const Handle< Quote > & stateVariable () const
const Handle
< YieldTermStructure > & 
dividendYield () const
const Handle
< YieldTermStructure > & 
riskFreeRate () const
const Handle
< BlackVolTermStructure > & 
blackVolatility () const
const Handle
< LocalVolTermStructure > & 
localVolatility () const
1-D stochastic process interface
virtual Real stdDeviation (Time t0, Real x0, Time dt) const
virtual Real variance (Time t0, Real x0, Time dt) const
Stochastic process interface
virtual Size factors () const
 returns the number of independent factors of the process

Protected Attributes

boost::shared_ptr< discretizationdiscretization_

Private Attributes

Real lowerAssetBorderForStressTest_
Real lowerTimeBorderForStressTest_
Real stressLevel_
Real upperAssetBorderForStressTest_
Real upperTimeBorderForStressTest_

Detailed Description

Black-Scholes process which supports local vega stress tests.

Definition at line 32 of file vegastressedblackscholesprocess.hpp.

The documentation for this class was generated from the following files:

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