sy Struct Reference

JY INF index sigma component. More...

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for sy:

Public Member Functions
	sy (QuantLib::Size i)
QuantLib::Real	eval (const CrossAssetModel &x, const QuantLib::Real t) const

Public Attributes
QuantLib::Size	i_

Detailed Description

JY INF index sigma component.

Definition at line 518 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

sy()

sy

(

QuantLib::Size

i

)

Definition at line 519 of file crossassetanalytics.hpp.

: i_(i) {}

Member Function Documentation

eval()

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

Definition at line 521 of file crossassetanalytics.hpp.

                                                                            {
        if (x.modelType(CrossAssetModel::AssetType::INF, i_) == CrossAssetModel::ModelType::JY)
            return x.infjy(i_)->index()->sigma(t);
        else
            QL_FAIL("Inflation index sigma only valid for JY model.");
    }

Here is the call graph for this function:

Member Data Documentation

i_

QuantLib::Size i_

Definition at line 528 of file crossassetanalytics.hpp.