projectedcrossassetmodel.hpp File Reference

cross asset model projection utils More...

#include <qle/models/crossassetmodel.hpp>

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

Detailed Description

cross asset model projection utils