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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Michael Heckl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file vegastressedblackscholesprocess.hpp
\brief Black-Scholes process which supports local vega stress tests
*/
#ifndef quantlib_vega_stressed_black_scholes_process_hpp
#define quantlib_vega_stressed_black_scholes_process_hpp
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Black-Scholes process which supports local vega stress tests
class VegaStressedBlackScholesProcess
: public GeneralizedBlackScholesProcess {
public:
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 ext::shared_ptr<discretization>& d =
ext::shared_ptr<discretization>(new EulerDiscretization));
//! \name StochasticProcess1D interface
//@{
Real diffusion(Time t, Real x) const override;
//@}
//! \name interface for vega stress test
//@{
// give back lower time border for stress test
Real getLowerTimeBorderForStressTest() const;
// set lower time border for stress test
void setLowerTimeBorderForStressTest(Time LTB);
// give back upper time border for stress test
Real getUpperTimeBorderForStressTest() const;
// set upper time border for stress test
void setUpperTimeBorderForStressTest(Time UTB);
// give back lower asset border for stress test
Real getLowerAssetBorderForStressTest() const;
// set lower asset border for stress test
void setLowerAssetBorderForStressTest(Real LAB);
// give back upper asset border for stress test
Real getUpperAssetBorderForStressTest() const;
// set upper asset border for stress test
void setUpperAssetBorderForStressTest(Real UBA);
// give back stress level
Real getStressLevel() const;
// set stress level
void setStressLevel(Real SL);
//@}
private:
Real lowerTimeBorderForStressTest_;
Real upperTimeBorderForStressTest_;
Real lowerAssetBorderForStressTest_;
Real upperAssetBorderForStressTest_;
Real stressLevel_;
};
}
#endif
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