add an function for computing truncated expected loss

1 files changed, 18 insertions, 1 deletions

diff --git a/src/lossdistrib.c b/src/lossdistrib.c
index d28b1b2..51e273b 100644
--- a/src/lossdistrib.c
+++ b/src/lossdistrib.c
@@ -200,6 +200,23 @@ void lossdistrib_truncated(double *p, int *np, double *w, double *S, int *N,
     free(qtemp);
 }
 
+void exp_trunc(double *p, int *np, double *w, double *S, int *N, double *K,
+               double *r) {
+    double lu;
+    double *qtemp;
+    double lambda;
+    lu = 1./(*N+1);
+    int T = (int) floor((*K) * (*N))+1;
+    int zero = 0;
+    qtemp = calloc( T, sizeof(double));
+    int i;
+    lossdistrib_truncated(p, np, w, S, N, &T, &zero, qtemp);
+    for(i = 0; i < T; i++){
+        *r += (*K - lu*i) * qtemp[i];
+    }
+    free(qtemp);
+}
+
 void lossdistrib_joint(double *p, int *np, double *w, double *S, int *N, int *defaultflag, double *q) {
     /* recursive algorithm with first order correction
        computes jointly the loss and recovery distribution
@@ -711,7 +728,7 @@ void lossdistrib_joint_Z(double *dp, int *ndp, double *w,
     double beta = 0;
     int one = 1;
 
-#pragma omp parallel for private(j)
+    #pragma omp parallel for private(j)
     for(i = 0; i < *nZ; i++){
         for(j = 0; j < *ndp; j++){
             dpshocked[j + (*ndp) * i] = shockprob(dp[j], rho[j], Z[i], 0);