Covariance for One-Factor SV with jumps
Functions
cov(l1, l2, par)
cov
Covariance in scalar
cov_yy(l1, l2)
cov_yy
Moment \(cov(y_n^{l_1},y_{n+1}^{l_2})\)
dcov(l1, l2, par, wrt)
dcov
Partial derivative of covariance w.r.t.
moment_yy(l1, l2)
moment_yy
Moment \(E[y_n^{l_1}y_{n+1}^{l_2}]\)