diff options
Diffstat (limited to 'src/lossdistrib.h')
| -rw-r--r-- | src/lossdistrib.h | 20 |
1 files changed, 19 insertions, 1 deletions
diff --git a/src/lossdistrib.h b/src/lossdistrib.h index 785b4e8..d3b8f2a 100644 --- a/src/lossdistrib.h +++ b/src/lossdistrib.h @@ -1,3 +1,11 @@ +extern int dgemv_(char* trans, int *m, int *n, double* alpha, double* A, int* lda,
+ double* x, int* incx, double* beta, double* y, int* incy);
+extern double ddot_(int* n, double* dx, int* incx, double* dy, int* incy);
+extern int dscal_(int* n, double* da, double* dx, int* incx);
+extern int daxpy_(int* n, double* da, double* dx, int* incx, double* dy, int* incy);
+extern int dstev_(char* JOBZ, int* n, double* D, double* E, double* Z, int* ldz, double* WORK, int* INFO);
+extern void openblas_set_num_threads(int);
+
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);
@@ -9,8 +17,13 @@ void lossdistrib_Z(double *p, int *np, double *w, double *S, int *N, int *defaul void lossdistrib_truncated(double *p, int *np, double *w, double *S, int *N,
int *T, int *defaultflag, double *q);
+static inline void posK(int T, double K, double lu, double* val);
+
+void exp_trunc(double *p, int *np, double *w, double *S, int *N, double *K,
+ double *r);
+
void lossdistrib_joint(double *p, int *np, double *w, double *S, int *N,
- int *defaultflag, double *q);
+ int *defaultflag, double *q);
void lossdistrib_joint_blas(double *p, int *np, double *w, double *S, int *N,
int *defaultflag, double *q);
@@ -43,6 +56,11 @@ 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);
+void BCloss_recov_trunc(double *defaultprob, int *dim1, int *dim2,
+ double *issuerweights, double *recov, double *Z, double *w,
+ int *n, double *rho, int *N, double * K, int *defaultflag,
+ double *ELt, double *ERt);
+
double quantile(double* Z, double* w, int nZ, double p0);
void GHquad(int *n, double* Z, double* w);
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