ryy Struct Reference

#include <qle/models/crossassetanalytics.hpp>

Public Member Functions
	ryy (QuantLib::Size i, QuantLib::Size j, QuantLib::Size iOffset=0, QuantLib::Size jOffset=0)
QuantLib::Real	eval (const CrossAssetModel *x, const QuantLib::Real) const

Public Attributes
QuantLib::Size	i_
QuantLib::Size	j_
QuantLib::Size	iOffset_
QuantLib::Size	jOffset_

Detailed Description

INF-INF correlation component.

The possible inflation models are DK and JY. The i-th and j-th inflation models are not necessarily of the same type. The offset is needed here in particular for the JY model where a value of 0 indicates the Brownian motion associated with the real rate component and a value of 1 indicates the Brownian motion associated with the CPI index component.