Fully annotated reference manual - version 1.8.13.0
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analytics for the cross asset model More...
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) |
analytics for the cross asset model
Definition in file crossassetanalytics.hpp.