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<!-- doxytag: class="QuantLib::VegaStressedBlackScholesProcess" --><!-- doxytag: inherits="QuantLib::GeneralizedBlackScholesProcess" -->
<p>Black-Scholes process which supports local vega stress tests.
<a href="class_quant_lib_1_1_vega_stressed_black_scholes_process.html#details">More...</a></p>
<p><code>#include <ql/experimental/processes/vegastressedblackscholesprocess.hpp></code></p>
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Inheritance diagram for VegaStressedBlackScholesProcess:</div>
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<p><a href="class_quant_lib_1_1_vega_stressed_black_scholes_process-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d24e04dabdbe971bfe9f0b3aab40ba3"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::VegaStressedBlackScholesProcess" ref="a4d24e04dabdbe971bfe9f0b3aab40ba3" args="(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))" -->
 </td><td class="memItemRight" valign="bottom"><b>VegaStressedBlackScholesProcess</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &<a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#a89d2f497b5fd0d0a0dce2ec82c86e778">x0</a>, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &dividendTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &blackVolTS, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> lowerTimeBorderForStressTest=0, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> upperTimeBorderForStressTest=1000000, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lowerAssetBorderForStressTest=0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> upperAssetBorderForStressTest=1000000, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stressLevel=0, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> > &d=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process_1_1discretization.html">discretization</a> >(new <a class="el" href="class_quant_lib_1_1_euler_discretization.html">EulerDiscretization</a>))</td></tr>
<tr><td colspan="2"><div class="groupHeader">StochasticProcess1D interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vega_stressed_black_scholes_process.html#ab4d7fe4af7a6dd0ae710c073569821e4">diffusion</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">interface for vega stress test</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac62cee7b777da1b349730f16d1873c4e"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::getLowerTimeBorderForStressTest" ref="ac62cee7b777da1b349730f16d1873c4e" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getLowerTimeBorderForStressTest</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a55d34bb18801c605a747d997d6b711be"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::setLowerTimeBorderForStressTest" ref="a55d34bb18801c605a747d997d6b711be" args="(Time LTB)" -->
void </td><td class="memItemRight" valign="bottom"><b>setLowerTimeBorderForStressTest</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> LTB)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae3ba833a75fc09cc4318d74ee6ffd530"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::getUpperTimeBorderForStressTest" ref="ae3ba833a75fc09cc4318d74ee6ffd530" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getUpperTimeBorderForStressTest</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69045c95c78d578e1c80512a6ea820b8"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::setUpperTimeBorderForStressTest" ref="a69045c95c78d578e1c80512a6ea820b8" args="(Time UTB)" -->
void </td><td class="memItemRight" valign="bottom"><b>setUpperTimeBorderForStressTest</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> UTB)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a84da2033ce377a7ceb88fc7aa18c8d76"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::getLowerAssetBorderForStressTest" ref="a84da2033ce377a7ceb88fc7aa18c8d76" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getLowerAssetBorderForStressTest</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7f43f2e139739642a804bf390a294b4d"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::setLowerAssetBorderForStressTest" ref="a7f43f2e139739642a804bf390a294b4d" args="(Real LAB)" -->
void </td><td class="memItemRight" valign="bottom"><b>setLowerAssetBorderForStressTest</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> LAB)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afa24202673c2f75819462e9777807c66"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::getUpperAssetBorderForStressTest" ref="afa24202673c2f75819462e9777807c66" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getUpperAssetBorderForStressTest</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a32594bc4d45a433ffcff8a5e2176fa5f"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::setUpperAssetBorderForStressTest" ref="a32594bc4d45a433ffcff8a5e2176fa5f" args="(Real UBA)" -->
void </td><td class="memItemRight" valign="bottom"><b>setUpperAssetBorderForStressTest</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> UBA)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aee9801e06dc96915253eb1633a5b383a"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::getStressLevel" ref="aee9801e06dc96915253eb1633a5b383a" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getStressLevel</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a785b85d9f05531d002657718dbb8cd06"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::setStressLevel" ref="a785b85d9f05531d002657718dbb8cd06" args="(Real SL)" -->
void </td><td class="memItemRight" valign="bottom"><b>setStressLevel</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> SL)</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black-Scholes process which supports local vega stress tests. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ab4d7fe4af7a6dd0ae710c073569821e4"></a><!-- doxytag: member="QuantLib::VegaStressedBlackScholesProcess::diffusion" ref="ab4d7fe4af7a6dd0ae710c073569821e4" args="(Time t, Real x) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_vega_stressed_black_scholes_process.html#ab4d7fe4af7a6dd0ae710c073569821e4">diffusion</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>x</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const<code> [virtual]</code></td>
</tr>
</table>
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<dl class="todo"><dt><b><a class="el" href="todo.html#_todo000060">Possible enhancements:</a></b></dt><dd>revise extrapolation </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#ab4d7fe4af7a6dd0ae710c073569821e4">GeneralizedBlackScholesProcess</a>.</p>
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