QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
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  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.