rys Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for rys:

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

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

Detailed Description

INF-EQ correlation component

Definition at line 727 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

rys()

rys	(	const Size	i,
		const Size	j,
		QuantLib::Size	iOffset = 0
	)

Definition at line 728 of file crossassetanalytics.hpp.

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

Member Function Documentation

eval()

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

Definition at line 730 of file crossassetanalytics.hpp.

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

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 734 of file crossassetanalytics.hpp.

j_

const Size j_

Definition at line 734 of file crossassetanalytics.hpp.

iOffset_

QuantLib::Size iOffset_

Definition at line 735 of file crossassetanalytics.hpp.