crossassetanalytics.cpp File Reference

#include <qle/models/crossassetanalytics.hpp>
#include <qle/utilities/inflation.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt
namespace	QuantExt::CrossAssetAnalytics

Functions
Real	ir_expectation_1 (const CrossAssetModel &x, const Size i, const Time t0, const Real dt)
Real	ir_expectation_2 (const CrossAssetModel &, const Size, const Real zi_0)
pair< Real, Real >	inf_jy_expectation_1 (const CrossAssetModel &x, Size i, Time t0, Real dt)
pair< Real, Real >	inf_jy_expectation_2 (const CrossAssetModel &x, Size i, Time t0, const pair< Real, Real > &state_0, Real zi_i_0, Real dt)
Real	fx_expectation_1 (const CrossAssetModel &x, const Size i, const Time t0, const Real dt)
Real	fx_expectation_2 (const CrossAssetModel &x, const Size i, const Time t0, const Real xi_0, const Real zi_0, const Real z0_0, const Real dt)
Real	eq_expectation_1 (const CrossAssetModel &x, const Size k, const Time t0, const Real dt)
Real	eq_expectation_2 (const CrossAssetModel &x, const Size k, const Time t0, const Real sk_0, const Real zi_0, const Real dt)
Real	ir_ir_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_fx_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_fx_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infz_infz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infz_infy_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infy_infy_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_infz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_infy_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_infz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_infy_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	crz_crz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	crz_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	cry_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_crz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_crz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infz_crz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infz_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infy_crz_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infy_cry_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_eq_covariance (const CrossAssetModel &x, const Size j, const Size k, const Time t0, const Time dt)
Real	fx_eq_covariance (const CrossAssetModel &x, const Size j, const Size k, const Time t0, const Time dt)
Real	infz_eq_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	infy_eq_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	crz_eq_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	cry_eq_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	eq_eq_covariance (const CrossAssetModel &x, const Size k, const Size l, const Time t0, const Time dt)
Real	aux_aux_covariance (const CrossAssetModel &x, const Time t0, const Time dt)
Real	aux_ir_covariance (const CrossAssetModel &x, const Size j, const Time t0, const Time dt)
Real	aux_fx_covariance (const CrossAssetModel &x, const Size j, const Time t0, const Time dt)
Real	com_com_covariance (const CrossAssetModel &x, const Size k, const Size l, const Time t0, const Time dt)
Real	ir_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	infz_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	infy_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	cry_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	crz_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	eq_com_covariance (const CrossAssetModel &model, const Size i, const Size j, const Time t0, const Time dt)
Real	ir_crstate_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	fx_crstate_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)
Real	crstate_crstate_covariance (const CrossAssetModel &x, const Size i, const Size j, const Time t0, const Time dt)