QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black-Scholes process which supports local vega stress tests. More...
#include <ql/processes/blackscholesprocess.hpp>
Go to the source code of this file.
Classes | |
class | VegaStressedBlackScholesProcess |
Black-Scholes process which supports local vega stress tests. More... | |
Namespaces | |
namespace | QuantLib |
Black-Scholes process which supports local vega stress tests.
Definition in file vegastressedblackscholesprocess.hpp.