rzz Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for rzz:

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

Public Attributes
const Size	i_
const Size	j_

Detailed Description

IR-IR correlation component

Definition at line 588 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

rzz()

rzz	(	const Size	i,
		const Size	j
	)

Definition at line 589 of file crossassetanalytics.hpp.

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

Member Function Documentation

eval()

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

Definition at line 590 of file crossassetanalytics.hpp.

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

Here is the call graph for this function:

Member Data Documentation

i_

const Size i_

Definition at line 593 of file crossassetanalytics.hpp.

j_

const Size j_

Definition at line 593 of file crossassetanalytics.hpp.