diff options
| -rw-r--r-- | python/tranche_functions.py | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/python/tranche_functions.py b/python/tranche_functions.py index d1297177..090e9072 100644 --- a/python/tranche_functions.py +++ b/python/tranche_functions.py @@ -4,6 +4,7 @@ from quantlib.time.schedule import Schedule, CDS from quantlib.time.api import Actual360, Period, UnitedStates, Following, today from quantlib.util.converter import qldate_to_pydate, pydate_to_qldate import pandas as pd +from scipy.special import h_roots libloss = np.ctypeslib.load_library("lossdistrib", "/home/share/CorpCDOs/code/R/lossdistrib/src") libloss.fitprob.restype = None @@ -48,10 +49,8 @@ libgq.GHquad.argtypes = [c_int, np.ctypeslib.ndpointer('double', ndim=1, flags='F'), np.ctypeslib.ndpointer('double', ndim=1, flags='F')] def GHquad(n): - Z = np.zeros(n, dtype='double') - w = np.zeros(n, dtype='double') - libgq.GHquad(n, Z, w) - return Z, w + Z, w = h_roots(n) + return Z*np.sqrt(2), w/np.sqrt(np.pi) def stochasticrecov(R, Rtilde, Z, w, rho, porig, pmod): q = np.zeros_like(Z) |