diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/distrib.R | 14 |
1 files changed, 4 insertions, 10 deletions
diff --git a/R/distrib.R b/R/distrib.R index 8eb8c42..2b19aa6 100644 --- a/R/distrib.R +++ b/R/distrib.R @@ -78,11 +78,11 @@ convolve <- function(dist1, dist2) { #' We compute the probability distribution of \eqn{S = \sum_{i=1}^n X_i} #' where \eqn{X_i} is Bernouilli(\eqn{p_i}). #' This uses the FFT, thus complexity is of order \eqn{O(n \log(n))}, -#' compared to \eqn{O(n^2)} for the recurvise algotithm. +#' compared to \eqn{O(n^2)} for the recursive algorithm. #' @param p Numeric vector, the vector of success probabilities #' @return A vector such that \eqn{q_k=\Pr(S=k)} lossdistrib.fft <- function(p) { - ## haven't tested when p is not a poiwer of 2. + ## haven't tested when p is not a power of 2. if(length(p) == 1){ c(1-p, p) }else { @@ -222,7 +222,7 @@ recovdist <- function(dp, pp, w, S, N){ #' @param w Numeric, vector of weights #' @param S Numeric, vector of severities #' @param N Integer, number of ticks in the grid -#' @param defaultflab Logical, whether to return the loss or default distribution +#' @param defaultflag Logical, whether to return the loss or default distribution #' @return q Matrix of joint loss, recovery probability distribution #' colSums(q) is the recovery distribution marginal #' rowSums(q) is the loss distribution marginal @@ -364,12 +364,6 @@ recovdistC <- function(dp, pp, w, S, N){ as.double(w), as.double(S), as.integer(N), q = double(N))$q } -lossdistC.joint <- function(p, w, S, N, defaultflag=FALSE){ - ## C version of lossdistrib.joint, roughly 20 times faster - .C("lossdistrib_joint", as.double(p), as.integer(length(p)), as.double(w), - as.double(S), as.integer(N), as.logical(defaultflag), q = matrix(0, N, N))$q -} - lossdistC.jointZ <- function(dp, w, S, N, defaultflag = FALSE, rho, Z, wZ){ ## N is the size of the grid ## dp is of size n.credits @@ -385,7 +379,7 @@ lossdistC.jointZ <- function(dp, w, S, N, defaultflag = FALSE, rho, Z, wZ){ lossdistC.prepay.joint <- function(dp, pp, w, S, N, defaultflag=FALSE){ ## C version of lossdist.prepay.joint - r <- .C("lossdistrib_prepay_joint", as.double(dp), as.double(pp), as.integer(length(dp)), + r <- .C("lossdistrib_joint", as.double(dp), as.double(pp), as.integer(length(dp)), as.double(w), as.double(S), as.integer(N), as.logical(defaultflag), q=matrix(0, N, N))$q return(r) } |