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vegastressedblackscholesprocess.hpp File Reference

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

#include <ql/processes/blackscholesprocess.hpp>
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Classes

class  QuantLib::VegaStressedBlackScholesProcess
 Black-Scholes process which supports local vega stress tests. More...

Namespaces

namespace  QuantLib

Detailed Description

Black-Scholes process which supports local vega stress tests.

Definition in file vegastressedblackscholesprocess.hpp.


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