rxy Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for rxy:

Public Member Functions
	rxy (const Size i, const Size j, QuantLib::Size jOffset=0)
Real	eval (const CrossAssetModel &x, const Real) const

Public Attributes
const Size	i_
const Size	j_
QuantLib::Size	jOffset_

Detailed Description

FX-INF correlation component

Definition at line 649 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

rxy()

rxy	(	const Size	i,
		const Size	j,
		QuantLib::Size	jOffset = 0
	)

Definition at line 650 of file crossassetanalytics.hpp.

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

Member Function Documentation

eval()

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

Definition at line 652 of file crossassetanalytics.hpp.

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

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 656 of file crossassetanalytics.hpp.

j_

const Size j_

Definition at line 656 of file crossassetanalytics.hpp.

jOffset_

QuantLib::Size jOffset_

Definition at line 657 of file crossassetanalytics.hpp.