HTtz Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for HTtz:

Public Member Functions
	HTtz (const Size i, const Real T)
Real	eval (const CrossAssetModel &x, const Real t) const

Public Attributes
const Size	i_
const Real	T_

Detailed Description

H(t+T)-H(t) component (needed for analytical covariances of zero rates)

Definition at line 757 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

HTtz()

HTtz	(	const Size	i,
		const Real	T
	)

Definition at line 758 of file crossassetanalytics.hpp.

: i_(i), T_(T) {}

Member Function Documentation

eval()

Real eval	(	const CrossAssetModel &	x,
		const Real	t
	)		const

Definition at line 759 of file crossassetanalytics.hpp.

{ return x.irlgm1f(i_)->H(T_ + t) - x.irlgm1f(i_)->H(t); }

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 760 of file crossassetanalytics.hpp.

T_

const Real T_

Definition at line 761 of file crossassetanalytics.hpp.