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pcaspersjenkins
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QPR-12329 move to public section
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Lines changed: 7 additions & 6 deletions

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QuantExt/qle/models/crossassetmodel.hpp

Lines changed: 7 additions & 6 deletions
Original file line numberDiff line numberDiff line change
@@ -410,6 +410,13 @@ class CrossAssetModel : public LinkableCalibratedModel, public boost::enable_sha
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/* ... add more calibration procedures here ... */
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/* calibration constraints */
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/* move
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- parameter "param" (e.g. vol, reversion, or all if null)
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- of asset type component t / index
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- at step i (or at all steps if i is null) */
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std::vector<bool> MoveParameter(const AssetType t, const Size param, const Size index, const Size i);
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protected:
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/* ctor to be used in extensions, initialize is not called */
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CrossAssetModel(const std::vector<boost::shared_ptr<Parametrization>>& parametrizations, const Matrix& correlation,
@@ -493,14 +500,8 @@ class CrossAssetModel : public LinkableCalibratedModel, public boost::enable_sha
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mutable boost::shared_ptr<Integrator> integrator_;
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mutable boost::shared_ptr<CrossAssetStateProcess> stateProcess_;
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/* calibration constraints */
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void appendToFixedParameterVector(const AssetType t, const AssetType v, const Size param, const Size index,
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const Size i, std::vector<bool>& res);
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// move parameter param (e.g. vol, reversion, or all if null) of asset type component t / index at step i (or at all
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// steps if i is null)
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std::vector<bool> MoveParameter(const AssetType t, const Size param, const Size index, const Size i);
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};
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//! Utility function to return a handle to the inflation term structure given the inflation index.

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