Black-Scholes process which supports local vega stress tests. More...
#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp>
Public Member Functions | |
VegaStressedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, 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) |
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GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) | |
Time | time (const Date &) const |
Real | x0 () const |
returns the initial value of the state variable | |
Real | drift (Time t, Real x) const |
Real | diffusion (Time t, Real x) const |
Real | apply (Real x0, Real dx) const |
Real | expectation (Time t0, Real x0, Time dt) const |
Real | stdDeviation (Time t0, Real x0, Time dt) const |
Real | variance (Time t0, Real x0, Time dt) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
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 | |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
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boost::shared_ptr< discretization > | discretization_ |
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boost::shared_ptr< discretization > | discretization_ |
Black-Scholes process which supports local vega stress tests.