29 Time lowerTimeBorderForStressTest,
30 Time upperTimeBorderForStressTest,
31 Real lowerAssetBorderForStressTest,
32 Real upperAssetBorderForStressTest,
34 const ext::shared_ptr<discretization>& disc)
37 lowerTimeBorderForStressTest_(lowerTimeBorderForStressTest),
38 upperTimeBorderForStressTest_(upperTimeBorderForStressTest),
39 lowerAssetBorderForStressTest_(lowerAssetBorderForStressTest),
40 upperAssetBorderForStressTest_(upperAssetBorderForStressTest),
41 stressLevel_(stressLevel) {}
Generalized Black-Scholes stochastic process.
Real diffusion(Time t, Real x) const override
Shared handle to an observable.
Real getStressLevel() const
Real lowerTimeBorderForStressTest_
void setUpperAssetBorderForStressTest(Real UBA)
Real upperTimeBorderForStressTest_
void setLowerTimeBorderForStressTest(Time LTB)
Real diffusion(Time t, Real x) const override
returns the diffusion part of the equation, i.e.
Real getUpperTimeBorderForStressTest() const
void setUpperTimeBorderForStressTest(Time UTB)
void setStressLevel(Real SL)
void setLowerAssetBorderForStressTest(Real LAB)
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 ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))
Real getLowerAssetBorderForStressTest() const
Real upperAssetBorderForStressTest_
Real getUpperAssetBorderForStressTest() const
Real lowerAssetBorderForStressTest_
Real getLowerTimeBorderForStressTest() const
Real Time
continuous quantity with 1-year units
Black-Scholes process which supports local vega stress tests.