projectedcrossassetmodel.hpp File Reference

cross asset model projection utils More...

#include <qle/models/crossassetmodel.hpp>

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Namespaces
namespace	QuantExt

Functions
QuantLib::ext::shared_ptr< CrossAssetModel >	getProjectedCrossAssetModel (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const std::vector< std::pair< CrossAssetModel::AssetType, Size > > &selectedComponents, std::vector< Size > &projectedStateProcessIndices)
std::vector< Size >	getStateProcessProjection (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const QuantLib::ext::shared_ptr< CrossAssetModel > &projectedModel)

Detailed Description

cross asset model projection utils

Definition in file projectedcrossassetmodel.hpp.