Struct CrossCurrencyDynamics 

pub struct CrossCurrencyDynamics<R: Scalar> {
    pub fx_domestic_rate: R,
    pub fx_foreign_rate: R,
    pub fx_credit: R,
    pub domestic_foreign_rate: R,
    pub foreign_rate_credit: R,
}

The correlations a cross-currency simulation reads beyond the intensity’s: of the FX rate with the note currency’s Hull-White factor, with the bond currency’s, and with the issuer’s intensity; of the two Hull-White factors; and of the bond currency’s factor with the intensity. Market inputs from the canonical labels, each its own risk row.

Fields

fx_domestic_rate: R

FX with the note currency’s rate factor.

fx_foreign_rate: R

FX with the bond currency’s rate factor.

fx_credit: R

FX with the issuer’s intensity.

domestic_foreign_rate: R

The two rate factors.

foreign_rate_credit: R

The bond currency’s rate factor with the issuer’s intensity.

Implementations

impl<R: Scalar> CrossCurrencyDynamics<R>

pub fn passive(&self) -> CrossCurrencyDynamics<f64>

The derivative-free projection.

Trait Implementations

impl<R: Clone + Scalar> Clone for CrossCurrencyDynamics<R>

fn clone(&self) -> CrossCurrencyDynamics<R>

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl<R: Copy + Scalar> Copy for CrossCurrencyDynamics<R>

impl<R: Debug + Scalar> Debug for CrossCurrencyDynamics<R>

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.