Reference manual - version qle_version
cross asset model projection utils More...
#include <qle/models/crossassetmodel.hpp>Functions | |
| QuantLib::ext::shared_ptr< CrossAssetModel > | getProjectedCrossAssetModel (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const std::set< 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) |
cross asset model projection utils