EnhancedBlackScholesProcess which supports Vega Tests

Hello all,

i recently analyzed the sensitivities of a new asian style path dependent option with quantlib and i ran into the following problem:

I wanted to do some Vega tests and I had to bump the Local Volatility Surface to figure out where the main vega sensitivities of my product are in terms of time bucket and moneyness. But this was not easy to do with standard quantlib tools. My setup was a BlackScholesMerton Process as underlying and as a BlackVolTermStructure is passed on the BlackVarianceSurface which holds my Implied Volatility Surface. What the BlackScholesProcess does, it figures out what is behind my BlackVolTermStructure and builds the right LocalVolTermStructure out of it. Then when I run my Monte Carlo engine it asks this LocalVolTermStructure at every discrete step of my path for the local vol and uses that as a diffusion term. So how do I stress the Local Volatility Surface? Since my drift term is always calculated on demand instantaneously it is not an easy thing to do.

What I could stress without problems is my Implied Volatility Surface. But this is not what I want. And calculating back how to stress my implied Volatility Surface to get the stress on my Local Volatility Surface the way I want is also not very easy to do since it also depends on the way I interpolate and extrapolate my BlackVariance Surface.

I solved this problem by building up an Enhanced Black Scholes Process which takes as parameters a stress level and a square of the local Volatility Surface which it stresses on demand. I thought maybe anyone is interested in my solution? I already tested it and it works fine. The solution itself is quite easy and I am working with it so far without any problems. I would like to contribute it and maybe we can together improve it and enhance Quantlib?

Since this is my first experience with Quantlib Mailing Lists I am not quite sure if I can attach my cpp files? Can anybody give me some advice?

Greetings and Happy Easter to you

Michael