diff options
Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index a625949f..7910a1d0 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -68,8 +68,8 @@ libloss.BCloss_recov_trunc.argtypes = [ POINTER(c_int), # Ngrid POINTER(c_double), #K POINTER(c_int), #defaultflag - ndpointer('double', ndim=2, flags='F,writeable'),# output L - ndpointer('double', ndim=2, flags='F,writeable')# output R + ndpointer('double', ndim=1, flags='F,writeable'),# output L + ndpointer('double', ndim=1, flags='F,writeable')# output R ] libloss.lossdistrib_joint.restype = None @@ -135,16 +135,16 @@ def BCloss_recov_dist(defaultprob, issuerweights, recov, rho, Z, w, Ngrid=101, d return L, R def BCloss_recov_trunc(defaultprob, issuerweights, recov, rho, K, Z, w, Ngrid=101, defaultflag=False): - L = np.zeros((Ngrid, defaultprob.shape[1]), order='F') - R = np.zeros_like(L) + ELt = np.zeros(defaultprob.shape[1]) + ERt = np.zeros_like(ELt) rho = np.full(issuerweights.size, rho) libloss.BCloss_recov_trunc(defaultprob, byref(c_int(defaultprob.shape[0])), byref(c_int(defaultprob.shape[1])), issuerweights, recov, Z, w, byref(c_int(Z.size)), rho, byref(c_int(Ngrid)), byref(c_double(K)), byref(c_int(defaultflag)), - L, R) - return L, R + ELt, ERt) + return ELt, ERt def lossdistrib_joint(p, pp, w, S, Ngrid=101, defaultflag=False): """Joint loss-recovery distribution recursive algorithm. |