vegastressedblackscholesprocess.hpp File Reference

Black-Scholes process which supports local vega stress tests. More...

Include dependency graph for vegastressedblackscholesprocess.hpp:

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.