Function cross_moments 

pub(crate) fn cross_moments<R: Scalar>(
    params: &HullWhiteParameters<R>,
    intensity: &GaussianIntensity<R>,
    t: f64,
) -> (R, R)

The two rate–credit cross moments at t, per volatility piece: Cov(x_t, ∫₀ᵗy) = ρη ∫σ(u)e^{−a(t−u)}B_b(u,t)du and Cov(x_t, y_t) = ρη ∫σ(u)e^{−(a+b)(t−u)}du. Linear in σ: these are covariances between two factors, not a variance.