VegaStressedBlackScholesProcess

Black-Scholes process which supports local vega stress tests

Hierarchy

GeneralizedBlackScholesProcess
- VegaStressedBlackScholesProcess

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new VegaStressedBlackScholesProcess(x0: Handle<Quote>, dividendTS: Handle<YieldTermStructure>, riskFreeTS: Handle<YieldTermStructure>, blackVolTS: Handle<BlackVolTermStructure>, lowerTimeBorderForStressTest?: Time, upperTimeBorderForStressTest?: Time, lowerAssetBorderForStressTest?: Time, upperAssetBorderForStressTest?: Time, stressLevel?: Real, d?: discretization): VegaStressedBlackScholesProcess

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:16
Parameters
- x0: Handle<Quote>
- dividendTS: Handle<YieldTermStructure>
- riskFreeTS: Handle<YieldTermStructure>
- blackVolTS: Handle<BlackVolTermStructure>
- Default value lowerTimeBorderForStressTest: Time = 0
- Default value upperTimeBorderForStressTest: Time = 1000000
- Default value lowerAssetBorderForStressTest: Time = 0
- Default value upperAssetBorderForStressTest: Time = 1000000
- Default value stressLevel: Real = 0
- Default value d: discretization = new EulerDiscretization()
Returns VegaStressedBlackScholesProcess

Properties

_discretization

_discretization: discretization

_isDisposed

_isDisposed: boolean = false

Private _lowerAssetBorderForStressTest

_lowerAssetBorderForStressTest: Real

Private _lowerTimeBorderForStressTest

_lowerTimeBorderForStressTest: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _stressLevel

_stressLevel: Real

Private _upperAssetBorderForStressTest

_upperAssetBorderForStressTest: Real

Private _upperTimeBorderForStressTest

_upperTimeBorderForStressTest: Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

apply1

apply1(x0: Real[], dx: Real[]): Real[]

Inherited from StochasticProcess1D.apply1

Overrides StochasticProcess.apply1
- Defined in ql/stochasticprocess.ts:335
Parameters
- x0: Real[]
- dx: Real[]
Returns Real[]

apply2

apply2(x0: Real, dx: Real): Real

Inherited from GeneralizedBlackScholesProcess.apply2

Overrides StochasticProcess1D.apply2
- Defined in ql/processes/blackscholesprocess.ts:114
Parameters
- x0: Real
- dx: Real
Returns Real

blackVolatility

blackVolatility(): Handle<BlackVolTermStructure>

Inherited from GeneralizedBlackScholesProcess.blackVolatility
- Defined in ql/processes/blackscholesprocess.ts:214
Returns Handle<BlackVolTermStructure>

covariance

covariance(t0: Time, x0: Real[], dt: Time): Matrix

Inherited from StochasticProcess1D.covariance

Overrides StochasticProcess.covariance
- Defined in ql/stochasticprocess.ts:314
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

diffusion1

diffusion1(t: Time, x: Real[]): Matrix

Inherited from StochasticProcess1D.diffusion1

Overrides StochasticProcess.diffusion1
- Defined in ql/stochasticprocess.ts:287
Parameters
- t: Time
- x: Real[]
Returns Matrix

diffusion2

diffusion2(t: Time, x: Real): Real

Overrides GeneralizedBlackScholesProcess.diffusion2
- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:35
Parameters
- t: Time
- x: Real
Returns Real

dividendYield

dividendYield(): Handle<YieldTermStructure>

Inherited from GeneralizedBlackScholesProcess.dividendYield
- Defined in ql/processes/blackscholesprocess.ts:206
Returns Handle<YieldTermStructure>

drift1

drift1(t: Time, x: Real[]): Real[]

Inherited from StochasticProcess1D.drift1

Overrides StochasticProcess.drift1
- Defined in ql/stochasticprocess.ts:278
Parameters
- t: Time
- x: Real[]
Returns Real[]

drift2

drift2(t: Time, x: Real): Real

Inherited from GeneralizedBlackScholesProcess.drift2

Overrides StochasticProcess1D.drift2
- Defined in ql/processes/blackscholesprocess.ts:93
todo revise extrapolation

Parameters
- t: Time
- x: Real
Returns Real

evolve1

evolve1(t0: Time, x0: Real[], dt: Time, dw: Real[]): Real[]

Inherited from StochasticProcess1D.evolve1

Overrides StochasticProcess.evolve1
- Defined in ql/stochasticprocess.ts:323
Parameters
- t0: Time
- x0: Real[]
- dt: Time
- dw: Real[]
Returns Real[]

evolve2

evolve2(t0: Time, x0: Real, dt: Time, dw: Real): Real

Inherited from GeneralizedBlackScholesProcess.evolve2

Overrides StochasticProcess1D.evolve2
- Defined in ql/processes/blackscholesprocess.ts:166
Parameters
- t0: Time
- x0: Real
- dt: Time
- dw: Real
Returns Real

expectation1

expectation1(t0: Time, x0: Real[], dt: Time): Real[]

Inherited from StochasticProcess1D.expectation1

Overrides StochasticProcess.expectation1
- Defined in ql/stochasticprocess.ts:296
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Real[]

expectation2

expectation2(t0: Time, x0: Real, dt: Time): Real

Inherited from GeneralizedBlackScholesProcess.expectation2

Overrides StochasticProcess1D.expectation2
- Defined in ql/processes/blackscholesprocess.ts:123
warning in general raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).

Parameters
- t0: Time
- x0: Real
- dt: Time
Returns Real

factors

factors(): Size

Inherited from StochasticProcess.factors
- Defined in ql/stochasticprocess.ts:36
returns the number of independent factors of the process

Returns Size

getLowerAssetBorderForStressTest

getLowerAssetBorderForStressTest(): Real

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:64
Returns Real

getLowerTimeBorderForStressTest

getLowerTimeBorderForStressTest(): Real

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:46
Returns Real

getStressLevel

getStressLevel(): Real

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:82
Returns Real

getUpperAssetBorderForStressTest

getUpperAssetBorderForStressTest(): Real

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:73
Returns Real

getUpperTimeBorderForStressTest

getUpperTimeBorderForStressTest(): Real

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:55
Returns Real

init

init(disc: discretization): StochasticProcess1D

Inherited from StochasticProcess1D.init

Overrides StochasticProcess.init
- Defined in ql/stochasticprocess.ts:183
Parameters
- disc: discretization
Returns StochasticProcess1D

init1

init1(x0: Handle<Quote>, dividendTS: Handle<YieldTermStructure>, riskFreeTS: Handle<YieldTermStructure>, blackVolTS: Handle<BlackVolTermStructure>, disc?: discretization, forceDiscretization?: boolean): GeneralizedBlackScholesProcess

Inherited from GeneralizedBlackScholesProcess.init1
- Defined in ql/processes/blackscholesprocess.ts:39
Parameters
- x0: Handle<Quote>
- dividendTS: Handle<YieldTermStructure>
- riskFreeTS: Handle<YieldTermStructure>
- blackVolTS: Handle<BlackVolTermStructure>
- Default value disc: discretization = new EulerDiscretization()
- Default value forceDiscretization: boolean = false
Returns GeneralizedBlackScholesProcess

init2

init2(x0: Handle<Quote>, dividendTS: Handle<YieldTermStructure>, riskFreeTS: Handle<YieldTermStructure>, blackVolTS: Handle<BlackVolTermStructure>, localVolTS: Handle<LocalVolTermStructure>): GeneralizedBlackScholesProcess

Inherited from GeneralizedBlackScholesProcess.init2
- Defined in ql/processes/blackscholesprocess.ts:63
Parameters
- x0: Handle<Quote>
- dividendTS: Handle<YieldTermStructure>
- riskFreeTS: Handle<YieldTermStructure>
- blackVolTS: Handle<BlackVolTermStructure>
- localVolTS: Handle<LocalVolTermStructure>
Returns GeneralizedBlackScholesProcess

initialValues

initialValues(): Real[]

Inherited from StochasticProcess1D.initialValues

Overrides StochasticProcess.initialValues
- Defined in ql/stochasticprocess.ts:274
Returns Real[]

localVolatility

localVolatility(): Handle<LocalVolTermStructure>

Inherited from GeneralizedBlackScholesProcess.localVolatility
- Defined in ql/processes/blackscholesprocess.ts:218
Returns Handle<LocalVolTermStructure>

riskFreeRate

riskFreeRate(): Handle<YieldTermStructure>

Inherited from GeneralizedBlackScholesProcess.riskFreeRate
- Defined in ql/processes/blackscholesprocess.ts:210
Returns Handle<YieldTermStructure>

setLowerAssetBorderForStressTest

setLowerAssetBorderForStressTest(LAB: Time): void

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:68
Parameters
- LAB: Time
Returns void

setLowerTimeBorderForStressTest

setLowerTimeBorderForStressTest(LTB: Time): void

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:50
Parameters
- LTB: Time
Returns void

setStressLevel

setStressLevel(SL: Real): void

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:86
Parameters
- SL: Real
Returns void

setUpperAssetBorderForStressTest

setUpperAssetBorderForStressTest(UBA: Time): void

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:77
Parameters
- UBA: Time
Returns void

setUpperTimeBorderForStressTest

setUpperTimeBorderForStressTest(UTB: Time): void

- Defined in ql/experimental/processes/vegastressedblackscholesprocess.ts:59
Parameters
- UTB: Time
Returns void

size

size(): Size

Inherited from StochasticProcess1D.size

Overrides StochasticProcess.size
- Defined in ql/stochasticprocess.ts:270
Returns Size

stateVariable

stateVariable(): Handle<Quote>

Inherited from GeneralizedBlackScholesProcess.stateVariable
- Defined in ql/processes/blackscholesprocess.ts:202
Returns Handle<Quote>

stdDeviation1

stdDeviation1(t0: Time, x0: Real[], dt: Time): Matrix

Inherited from StochasticProcess1D.stdDeviation1

Overrides StochasticProcess.stdDeviation1
- Defined in ql/stochasticprocess.ts:305
Parameters
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

stdDeviation2

stdDeviation2(t0: Time, x0: Real, dt: Time): Real

Inherited from GeneralizedBlackScholesProcess.stdDeviation2

Overrides StochasticProcess1D.stdDeviation2
- Defined in ql/processes/blackscholesprocess.ts:145
Parameters
- t0: Time
- x0: Real
- dt: Time
Returns Real

time

time(d: Date): Time

Inherited from GeneralizedBlackScholesProcess.time

Overrides StochasticProcess.time
- Defined in ql/processes/blackscholesprocess.ts:192
Parameters
- d: Date
Returns Time

update

update(): void

Inherited from GeneralizedBlackScholesProcess.update

Overrides StochasticProcess.update
- Defined in ql/processes/blackscholesprocess.ts:197
Returns void

variance

variance(t0: Time, x0: Real, dt: Time): Real

Inherited from GeneralizedBlackScholesProcess.variance

Overrides StochasticProcess1D.variance
- Defined in ql/processes/blackscholesprocess.ts:155
Parameters
- t0: Time
- x0: Real
- dt: Time
Returns Real

x0

x0(): Real

Inherited from GeneralizedBlackScholesProcess.x0

Overrides StochasticProcess1D.x0
- Defined in ql/processes/blackscholesprocess.ts:88
Returns Real

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

x0: Handle<Quote>

dividendTS: Handle<YieldTermStructure>

riskFreeTS: Handle<YieldTermStructure>

blackVolTS: Handle<BlackVolTermStructure>

Default value lowerTimeBorderForStressTest: Time = 0

Default value upperTimeBorderForStressTest: Time = 1000000

Default value lowerAssetBorderForStressTest: Time = 0

Default value upperAssetBorderForStressTest: Time = 1000000

Default value stressLevel: Real = 0

Default value d: discretization = new EulerDiscretization()

Returns VegaStressedBlackScholesProcess

Properties

_discretization

_isDisposed

Private _lowerAssetBorderForStressTest

Private _lowerTimeBorderForStressTest

_observables

_observers

Private _stressLevel

Private _upperAssetBorderForStressTest

Private _upperTimeBorderForStressTest

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

apply1

Parameters

x0: Real[]

dx: Real[]

Returns Real[]

apply2

Parameters

x0: Real

dx: Real

Returns Real

blackVolatility

Returns Handle<BlackVolTermStructure>

covariance

Parameters