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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-04-24 13:43:37 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-04-24 13:43:37 -0400 |
| commit | 2ca4f88a4fb14026b502ee7e54ebdc12d2b4b8b9 (patch) | |
| tree | cf11d5c7499ffcae18b020a9d49cb7cc7c464632 /src/lossdistrib.h | |
| download | lossdistrib-2ca4f88a4fb14026b502ee7e54ebdc12d2b4b8b9.tar.gz | |
initial import of lossdistrib package
Diffstat (limited to 'src/lossdistrib.h')
| -rw-r--r-- | src/lossdistrib.h | 46 |
1 files changed, 46 insertions, 0 deletions
diff --git a/src/lossdistrib.h b/src/lossdistrib.h new file mode 100644 index 0000000..d4bd974 --- /dev/null +++ b/src/lossdistrib.h @@ -0,0 +1,46 @@ +void lossdistrib(double *p, int *np, double *w, double *S, int *N, int *defaultflag, double *q);
+void lossdistrib_blas(double *p, int *np, double *w, double *S, int *N, int *defaultflag, double *q);
+
+double shockprob(double p, double rho, double Z, int give_log);
+
+void lossdistrib_Z(double *p, int *np, double *w, double *S, int *N, int *defaultflag,
+ double *rho, double *Z, int *nZ, double *q);
+
+void lossdistrib_truncated(double *p, int *np, double *w, double *S, int *N,
+ int *T, int *defaultflag, double *q);
+
+void lossdistrib_joint(double *p, int *np, double *w, double *S, int *N,
+ int *defaultflag, double *q);
+
+void lossdistrib_joint_blas(double *p, int *np, double *w, double *S, int *N,
+ int *defaultflag, double *q);
+
+void recovdist(double *dp, double *pp, int *n, double *w, double *S, int *N, double *q);
+
+void lossdistrib_prepay_joint(double *dp, double *pp, int *ndp, double *w,
+ double *S, int *N, int *defaultflag, double *q);
+double dqnorm(double x);
+
+double dshockprob(double p, double rho, double Z);
+
+void shockprobvec2(double p, double rho, double* Z, int nZ, double *q);
+
+double shockseverity(double S, double Z, double rho, double p);
+
+void fitprob(double* Z, double* w, int* nZ, double* rho, double* p0, double* result);
+
+void stochasticrecov(double* R, double* Rtilde, double* Z, double* w, int* nZ,
+ double* rho, double* porig, double* pmod, double* q);
+
+void lossdistrib_prepay_joint_Z(double *dp, double *pp, int *ndp, double *w,
+ double *S, int *N, int *defaultflag, double *rho,
+ double *Z, double *wZ, int *nZ, double *q);
+void lossdistrib_joint_Z(double *dp, int *ndp, double *w,
+ double *S, int *N, int *defaultflag, double *rho,
+ double *Z, double *wZ, int *nZ, double *q);
+
+void BClossdist(double *SurvProb, int *dim1, int *dim2, double *issuerweights,
+ double *recov, double *Z, double *w, int *n, double *rho, int *N,
+ int *defaultflag, double *L, double *R);
+
+double quantile(double* Z, double* w, int nZ, double p0);
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