lossdistrib/src, branch Rcpp R package for computing loss distributions https://projects.horel.org/guillaume/lossdistrib/atom/src?h=Rcpp 2016-03-04T21:53:05Z first go at Rcpp 2016-03-04T21:53:05Z Guillaume Horel guillaume.horel@serenitascapital.com 2016-03-04T21:53:05Z urn:sha1:c88de7427189fa6617da3ba5c8c11db66ab150dd Big code cleanup 2016-03-03T22:59:14Z Guillaume Horel guillaume.horel@serenitascapital.com 2016-03-03T21:59:43Z urn:sha1:2eff9ec4de33bb79ab94730ddece00edb9f2f130 - move the counters inside the for loops. This helps with openmp as well, since the counter is now private. - combine the blas version of the functions using ifdefs - add const keyword wherever it makes sense Now time to make sure it's not buggy! new function using truncated dists 2015-03-11T20:38:53Z Guillaume Horel guillaume.horel@serenitascapital.com 2015-03-11T20:38:53Z urn:sha1:6528b3cf1b976b8392e4ae9d0f1857c22276ae9a add an function for computing truncated expected loss 2015-03-10T22:25:03Z Guillaume Horel guillaume.horel@serenitascapital.com 2015-03-10T22:25:03Z urn:sha1:74fa05ce92c4d23d14cc6672ffefe3379a804bcd fix lossdistrib_truncated 2015-03-10T18:23:44Z Guillaume Horel guillaume.horel@serenitascapital.com 2015-03-10T18:17:51Z urn:sha1:544eb106db66e859a0933244bf46624eab1ab555 reindent everything 2015-03-10T16:55:29Z Guillaume Horel guillaume.horel@serenitascapital.com 2015-03-10T16:55:29Z urn:sha1:c85640622f4686db60f3c6b469e007798f43ad53 implement skew mapping by doing tranche loss proportion mapping 2014-05-08T17:40:58Z Guillaume Horel guillaume.horel@serenitascapital.com 2014-05-08T17:40:58Z urn:sha1:8966b9753f876250182ef75a8c4294d523f2126a add GHquad function, get rid of statmod dependency 2014-05-07T14:50:13Z Guillaume Horel guillaume.horel@serenitascapital.com 2014-05-07T14:50:13Z urn:sha1:6eac91bf7bcf3515e661d74b49e8179938bd1488 allow to build dual arches package on windows 2014-04-24T19:51:37Z Guillaume Horel guillaume.horel@serenitascapital.com 2014-04-24T19:51:37Z urn:sha1:216fe79edf63926a28a4a435b78ebf03fc96b1d1 initial import of lossdistrib package 2014-04-24T17:43:37Z Guillaume Horel guillaume.horel@serenitascapital.com 2014-04-24T17:43:37Z urn:sha1:2ca4f88a4fb14026b502ee7e54ebdc12d2b4b8b9