ryy Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for ryy:

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

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

Detailed Description

INF-INF correlation component.

The possible inflation models are DK and JY. The i-th and j-th inflation models are not necessarily of the same type. The offset is needed here in particular for the JY model where a value of 0 indicates the Brownian motion associated with the real rate component and a value of 1 indicates the Brownian motion associated with the CPI index component.

Definition at line 621 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

ryy()

ryy	(	QuantLib::Size	i,
		QuantLib::Size	j,
		QuantLib::Size	iOffset = 0,
		QuantLib::Size	jOffset = 0
	)

Definition at line 622 of file crossassetanalytics.hpp.

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

Member Function Documentation

eval()

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

Definition at line 625 of file crossassetanalytics.hpp.

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

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Member Data Documentation

i_

QuantLib::Size i_

Definition at line 630 of file crossassetanalytics.hpp.

j_

QuantLib::Size j_

Definition at line 631 of file crossassetanalytics.hpp.

iOffset_

QuantLib::Size iOffset_

Definition at line 632 of file crossassetanalytics.hpp.

jOffset_

QuantLib::Size jOffset_

Definition at line 633 of file crossassetanalytics.hpp.