rxcrs Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for rxcrs:

Public Member Functions
	rxcrs (const Size i, const Size j)
Real	eval (const CrossAssetModel &x, const Real) const

Public Attributes
const Size	i_
const Size	j_

Detailed Description

FX-CrState correlation component

Definition at line 774 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

rxcrs()

rxcrs	(	const Size	i,
		const Size	j
	)

Definition at line 775 of file crossassetanalytics.hpp.

: i_(i), j_(j) {}

Member Function Documentation

eval()

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

Definition at line 776 of file crossassetanalytics.hpp.

                                                          {
        return x.correlation(CrossAssetModel::AssetType::FX, i_, CrossAssetModel::AssetType::CrState, j_, 0, 0);
    }

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 779 of file crossassetanalytics.hpp.

j_

const Size j_

Definition at line 779 of file crossassetanalytics.hpp.