zetay Struct Reference

INF zeta component. May relate to real rate portion of JY model or z component of DK model. More...

#include <qle/models/crossassetanalytics.hpp>

Collaboration diagram for zetay:

Public Member Functions
	zetay (const Size i)
Real	eval (const CrossAssetModel &x, const Real t) const

Public Attributes
const Size	i_

Detailed Description

INF zeta component. May relate to real rate portion of JY model or z component of DK model.

Definition at line 502 of file crossassetanalytics.hpp.

Constructor & Destructor Documentation

zetay()

zetay

(

const Size

i

)

Definition at line 503 of file crossassetanalytics.hpp.

: i_(i) {}

Member Function Documentation

eval()

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

Definition at line 505 of file crossassetanalytics.hpp.

                                                            {
        if (x.modelType(CrossAssetModel::AssetType::INF, i_) == CrossAssetModel::ModelType::DK)
            return x.infdk(i_)->zeta(t);
        else if (x.modelType(CrossAssetModel::AssetType::INF, i_) == CrossAssetModel::ModelType::JY)
            return x.infjy(i_)->realRate()->zeta(t);
        else
            QL_FAIL("Expected inflation model to be JY or DK");
    }

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Member Data Documentation

i_

const Size i_

Definition at line 514 of file crossassetanalytics.hpp.