24#ifndef quantlib_vega_stressed_black_scholes_process_hpp
25#define quantlib_vega_stressed_black_scholes_process_hpp
40 Time lowerTimeBorderForStressTest = 0,
41 Time upperTimeBorderForStressTest = 1000000,
42 Real lowerAssetBorderForStressTest = 0,
43 Real upperAssetBorderForStressTest = 1000000,
45 const ext::shared_ptr<discretization>&
d =
Euler discretization for stochastic processes.
Generalized Black-Scholes stochastic process.
Real x0() const override
returns the initial value of the state variable
Shared handle to an observable.
Black-Scholes process which supports local vega stress tests.
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)
Real getLowerAssetBorderForStressTest() const
Real upperAssetBorderForStressTest_
Real getUpperAssetBorderForStressTest() const
Real lowerAssetBorderForStressTest_
Real getLowerTimeBorderForStressTest() const
Real Time
continuous quantity with 1-year units