vy Struct Reference

JY INF index variance component. More...

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for vy:

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

Public Attributes
QuantLib::Size	i_

Detailed Description

JY INF index variance component.

Definition at line 532 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

vy()

vy

(

QuantLib::Size

i

)

Definition at line 533 of file crossassetanalytics.hpp.

: i_(i) {}

Member Function Documentation

eval()

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

Definition at line 535 of file crossassetanalytics.hpp.

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

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Member Data Documentation

i_

QuantLib::Size i_

Definition at line 542 of file crossassetanalytics.hpp.