QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
VegaStressedBlackScholesProcess Member List

This is the complete list of members for VegaStressedBlackScholesProcess, including all inherited members.

apply(Real x0, Real dx) const GeneralizedBlackScholesProcessvirtual
blackVolatility() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
diffusion(Time t, Real x) const VegaStressedBlackScholesProcessvirtual
discretization_ (defined in StochasticProcess1D)StochasticProcess1Dprotected
dividendYield() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
drift(Time t, Real x) const GeneralizedBlackScholesProcessvirtual
evolve(Time t0, Real x0, Time dt, Real dw) const GeneralizedBlackScholesProcessvirtual
expectation(Time t0, Real x0, Time dt) const GeneralizedBlackScholesProcessvirtual
factors() const StochasticProcessvirtual
GeneralizedBlackScholesProcess(const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
getLowerAssetBorderForStressTest() const (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
getLowerTimeBorderForStressTest() const (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
getStressLevel() const (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
getUpperAssetBorderForStressTest() const (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
getUpperTimeBorderForStressTest() const (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
localVolatility() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
riskFreeRate() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
setLowerAssetBorderForStressTest(Real LAB) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
setLowerTimeBorderForStressTest(Time LTB) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
setStressLevel(Real SL) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
setUpperAssetBorderForStressTest(Real UBA) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
setUpperTimeBorderForStressTest(Time UTB) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
stateVariable() const (defined in GeneralizedBlackScholesProcess)GeneralizedBlackScholesProcess
stdDeviation(Time t0, Real x0, Time dt) const StochasticProcess1Dvirtual
StochasticProcess() (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess(const boost::shared_ptr< discretization > &) (defined in StochasticProcess)StochasticProcessprotected
StochasticProcess1D() (defined in StochasticProcess1D)StochasticProcess1Dprotected
StochasticProcess1D(const boost::shared_ptr< discretization > &) (defined in StochasticProcess1D)StochasticProcess1Dprotected
time(const Date &) const GeneralizedBlackScholesProcessvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GeneralizedBlackScholesProcessvirtual
variance(Time t0, Real x0, Time dt) const StochasticProcess1Dvirtual
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 boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) (defined in VegaStressedBlackScholesProcess)VegaStressedBlackScholesProcess
x0() const GeneralizedBlackScholesProcessvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual
~StochasticProcess() (defined in StochasticProcess)StochasticProcessvirtual