crossassetmodel.hpp File Reference

cross asset model More...

#include <qle/models/cirppparametrization.hpp>
#include <qle/models/commoditymodel.hpp>
#include <qle/models/commodityschwartzmodel.hpp>
#include <qle/models/commodityschwartzparametrization.hpp>
#include <qle/models/crcirpp.hpp>
#include <qle/models/crlgm1fparametrization.hpp>
#include <qle/models/crstateparametrization.hpp>
#include <qle/models/eqbsparametrization.hpp>
#include <qle/models/fxbsmodel.hpp>
#include <qle/models/fxbsparametrization.hpp>
#include <qle/models/hwmodel.hpp>
#include <qle/models/infdkparametrization.hpp>
#include <qle/models/infjyparameterization.hpp>
#include <qle/models/lgm.hpp>
#include <qle/processes/crossassetstateprocess.hpp>
#include <ql/errors.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/integrals/integral.hpp>
#include <ql/math/matrix.hpp>
#include <ql/models/model.hpp>
#include <boost/enable_shared_from_this.hpp>

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Classes
class	CrossAssetModel
	Cross Asset Model. More...
struct	CrossAssetModel::cache_key
struct	CrossAssetModel::cache_hasher

Namespaces
namespace	QuantExt

Functions
QuantLib::Handle< QuantLib::ZeroInflationTermStructure >	inflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
	Utility function to return a handle to the inflation term structure given the inflation index. More...
std::ostream &	operator<< (std::ostream &out, const CrossAssetModel::AssetType &type)

Detailed Description

cross asset model

Definition in file crossassetmodel.hpp.