coms Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for coms:

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

Public Attributes
const Size	i_

Detailed Description

COM sigma component, non mean-reverting single-factor case

Definition at line 581 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

coms()

coms

(

const Size

i

)

Definition at line 582 of file crossassetanalytics.hpp.

: i_(i) {}

Member Function Documentation

eval()

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

Definition at line 583 of file crossassetanalytics.hpp.

{ return x.combs(i_)->sigma(t); }

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 584 of file crossassetanalytics.hpp.