diff options
| -rw-r--r-- | python/analytics/tranche_functions.py | 10 |
1 files changed, 10 insertions, 0 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 8c02c46c..e9ee3ddc 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -116,6 +116,13 @@ libloss.shockprob.argtypes = [ c_double, c_int] +libloss.shockseverity.restype = c_double +libloss.shockseverity.argtypes = [ + c_double, + c_double, + c_double, + c_double] + def GHquad(n): Z, w = h_roots(n) return Z*np.sqrt(2), w/np.sqrt(np.pi) @@ -134,6 +141,9 @@ def fitprob(Z, w, rho, p0): def shockprob(p, rho, Z, give_log): return libloss.shockprob(c_double(p), c_double(rho), c_double(Z), c_int(give_log)) +def shockseverity(S, rho, Z, p): + return libloss.shockseverity(c_double(S), c_double(rho), c_double(Z), c_double(p)) + def BCloss_recov_dist(defaultprob, issuerweights, recov, rho, Z, w, Ngrid=101, defaultflag=False): L = np.zeros((Ngrid, defaultprob.shape[1]), order='F') R = np.zeros_like(L) |