HTtz Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Public Member Functions
	HTtz (const Size i, const Real T)
Real	eval (const CrossAssetModel *x, const Real t) const

Public Attributes
const Size	i_
const Real	T_

Detailed Description

H(t+T)-H(t) component (needed for analytical covariances of zero rates)