diff options
Diffstat (limited to 'src/lossdistrib.h')
| -rw-r--r-- | src/lossdistrib.h | 127 |
1 files changed, 61 insertions, 66 deletions
diff --git a/src/lossdistrib.h b/src/lossdistrib.h index d3b8f2a..3a65800 100644 --- a/src/lossdistrib.h +++ b/src/lossdistrib.h @@ -1,66 +1,61 @@ -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);
-
-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);
-
-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);
-
-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);
-
-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);
+extern int dgemv_(char* trans, const int *m, const int *n, const double* alpha, double* A, const int* lda, + const double* x, const int* incx, const double* beta, double* y, const int* incy); +extern double ddot_(const int* n, const double* dx, const int* incx, const double* dy, const int* incy); +extern int dscal_(int* n, double* da, double* dx, const int* incx); +extern int daxpy_(int* n, double* da, double* dx, const int* incx, double* dy, const int* incy); +extern int dstev_(char* JOBZ, const int* n, double* D, double* E, double* Z, const int* ldz, + double* WORK, int* INFO); +extern void openblas_set_num_threads(int); + +void lossdistrib(const double *p, const int *np, const double *w, const double *S, + const int *N, const int *T, const int *defaultflag, double *q); + +double shockprob(double p, double rho, double Z, int give_log); + +void lossdistrib_Z(const double *p, const int *np, const double *w, const double *S, const int *N, + const int *defaultflag, const double *rho, const double *Z, const int *nZ, + double *q); + +static inline void posK(int T, double K, double lu, double* val); + +void exp_trunc(const double *p, const int *np, const double *w, const double *S, + const int *N, const double *K, double *r); + +void lossdistrib_joint(const double *p, const double* pp, const int *np, const double *w, const double *S, + const int *N, const int *defaultflag, double *q); + +void recovdist(const double *dp, const double *pp, const int *n, const double *w, + const double *S, const int *N, 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_joint_Z(const double *dp, const double* pp, const int *ndp, const double *w, + const double *S, const int *N, const int *defaultflag, const double *rho, + const double *Z, const double *wZ, const int *nZ, double *q); + +void BCloss_recov_dist(const double *SurvProb, const int *dim1, const int *dim2, const double *issuerweights, + const double *recov, const double *Z, const double *w, const int *n, + const double *rho, const int *N, + const int *defaultflag, double *L, double *R); + +void BCloss_recov_trunc(const double *defaultprob, const int *dim1, const int *dim2, + const double *issuerweights, const double *recov, const double *Z, + const double *w, const int *n, const double *rho, const int *N, + const double * K, const int *defaultflag, + double *ELt, double *ERt); + +double quantile(double* Z, double* w, int nZ, double p0); + +void GHquad(const int *n, double* Z, double* w); |