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

#include <vegastressedblackscholesprocess.hpp>

Inheritance diagram for VegaStressedBlackScholesProcess:

Collaboration diagram for VegaStressedBlackScholesProcess:

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 ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))

StochasticProcess1D interface
Real	diffusion (Time t, Real x) const override
	returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More...

Public Member Functions inherited from GeneralizedBlackScholesProcess
	GeneralizedBlackScholesProcess (Handle< Quote > x0, Handle< YieldTermStructure > dividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< BlackVolTermStructure > blackVolTS, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization), bool forceDiscretization=false)

	GeneralizedBlackScholesProcess (Handle< Quote > x0, Handle< YieldTermStructure > dividendTS, Handle< YieldTermStructure > riskFreeTS, Handle< BlackVolTermStructure > blackVolTS, Handle< LocalVolTermStructure > localVolTS)

Real	x0 () const override
	returns the initial value of the state variable More...

Real	drift (Time t, Real x) const override

Real	diffusion (Time t, Real x) const override

Real	apply (Real x0, Real dx) const override

Real	expectation (Time t0, Real x0, Time dt) const override

Real	stdDeviation (Time t0, Real x0, Time dt) const override

Real	variance (Time t0, Real x0, Time dt) const override

Real	evolve (Time t0, Real x0, Time dt, Real dw) const override

Time	time (const Date &) const override

void	update () override

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

Public Member Functions inherited from StochasticProcess1D
Public Member Functions inherited from StochasticProcess
	~StochasticProcess () override=default

virtual Size	factors () const
	returns the number of independent factors of the process More...

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

interface for vega stress test
Real	lowerTimeBorderForStressTest_

Real	upperTimeBorderForStressTest_

Real	lowerAssetBorderForStressTest_

Real	upperAssetBorderForStressTest_

Real	stressLevel_

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
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from StochasticProcess1D
	StochasticProcess1D ()=default

	StochasticProcess1D (ext::shared_ptr< discretization >)

Protected Member Functions inherited from StochasticProcess
	StochasticProcess ()=default

	StochasticProcess (ext::shared_ptr< discretization >)

Protected Attributes inherited from StochasticProcess1D
ext::shared_ptr< discretization >	discretization_

Protected Attributes inherited from StochasticProcess
ext::shared_ptr< discretization >	discretization_

Detailed Description

Black-Scholes process which supports local vega stress tests.

Definition at line 32 of file vegastressedblackscholesprocess.hpp.

Constructor & Destructor Documentation

◆ VegaStressedBlackScholesProcess()

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 ext::shared_ptr< discretization > &	d = `ext::shared_ptr<discretization>(new EulerDiscretization)`
	)