crossassetanalytics.hpp File Reference

analytics for the cross asset model More...

#include <qle/models/crossassetanalyticsbase.hpp>
#include <qle/models/crossassetmodel.hpp>

Go to the source code of this file.

Classes
struct	Hz
struct	az
struct	zetaz
struct	sx
struct	vx
struct	Hy
	INF H component. May relate to real rate portion of JY model or z component of DK model. More...
struct	ay
	INF alpha component. May relate to real rate portion of JY model or z component of DK model. More...
struct	zetay
	INF zeta component. May relate to real rate portion of JY model or z component of DK model. More...
struct	sy
	JY INF index sigma component. More...
struct	vy
	JY INF index variance component. More...
struct	Hl
struct	al
struct	zetal
struct	ss
struct	vs
struct	coms
struct	rzz
struct	rzx
struct	rxx
struct	ryy
struct	rzy
struct	rxy
struct	rll
struct	rzl
struct	rxl
struct	ryl
struct	rss
struct	rzs
struct	rxs
struct	rys
struct	rls
struct	rcc
struct	HTtz
struct	rzcrs
struct	rxcrs
struct	rccrs

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)
std::pair< QuantLib::Real, QuantLib::Real >	inf_jy_expectation_1 (const CrossAssetModel &model, QuantLib::Size i, QuantLib::Time t0, QuantLib::Real dt)
std::pair< QuantLib::Real, QuantLib::Real >	inf_jy_expectation_2 (const CrossAssetModel &model, QuantLib::Size i, QuantLib::Time t0, const std::pair< QuantLib::Real, QuantLib::Real > &state_0, QuantLib::Real zi_i_0, QuantLib::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)

Detailed Description

analytics for the cross asset model

Definition in file crossassetanalytics.hpp.