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2017-11-21add gitignore fileGuillaume Horel
2017-04-27use symbols, not stringsGuillaume Horel
2017-04-27fix commentGuillaume Horel
2017-04-27register routinesGuillaume Horel
2017-04-10revert commit 34a4f01Guillaume Horel
2017-04-05function to compute the average recovery distributionGuillaume Horel
2017-03-31try to fix lossdistrib_joint_ZGuillaume Horel
2017-03-31typosGuillaume Horel
2017-02-28typoGuillaume Horel
2016-10-21fix up the fft computationGuillaume Horel
2016-10-21small tweakGuillaume Horel
2016-03-24docs improvementGuillaume Horel
2016-03-08unix line endingsGuillaume Horel
2016-03-08small fixesGuillaume Horel
2016-03-08start adding testsGuillaume Horel
2016-03-08start using testthat for testingGuillaume Horel
2016-03-07be more defensive with the dimensionsGuillaume Horel
2016-03-07switch to cblas and lapacke interfaceGuillaume Horel
2016-03-07add some testsGuillaume Horel
2016-03-03update R partGuillaume Horel
2016-03-03Big code cleanupGuillaume Horel
- move the counters inside the for loops. This helps with openmp as well, since the counter is now private. - combine the blas version of the functions using ifdefs - add const keyword wherever it makes sense Now time to make sure it's not buggy!
2015-09-23double transpose!Guillaume Horel
2015-07-30add generated docsGuillaume Horel
2015-07-30improve docsGuillaume Horel
2015-03-11new function using truncated distsGuillaume Horel
2015-03-10add an function for computing truncated expected lossGuillaume Horel
2015-03-10fix lossdistrib_truncatedGuillaume Horel
2015-03-10reindent everythingGuillaume Horel
2014-10-08rename file since there are no tranche functions leftGuillaume Horel
2014-10-03big cleanupGuillaume Horel
2014-10-03update descGuillaume Horel
2014-09-18complement param was not used and shortened did not workGuillaume Horel
2014-09-12starting to clean up the docGuillaume Horel
2014-09-10start documenting the code properlyGuillaume Horel
2014-09-05shorter column nameGuillaume Horel
2014-09-05singular everyhereGuillaume Horel
2014-09-05update due to new organisation of index objectGuillaume Horel
2014-09-04stupid type, should always be testingGuillaume Horel
2014-09-04return better namesGuillaume Horel
2014-08-28cap the skewGuillaume Horel
2014-08-25removed a line by mistakeGuillaume Horel
2014-08-25small cleanupsGuillaume Horel
2014-08-20n.credit wasn't declaredGuillaume Horel
2014-08-20add MFtranche.delta which mimics BCtranche.deltaGuillaume Horel
2014-08-20replace tranche.pvvec with MFtranche.pv, which mimics BCtranche.pvGuillaume Horel
2014-08-20pass a scalarGuillaume Horel
2014-08-20add two new MF functionsGuillaume Horel
2014-08-19Most functions now take a complement parameterGuillaume Horel
* set to FALSE by default, which was the previous behaviour * when complement is TRUE, we build the tranches pv starting from the top, only makes sense if index$rho is a top-down skew.
2014-08-18cap the correlation to 0.99Guillaume Horel
2014-08-18add a new method for skew mapping (probability matching)Guillaume Horel
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-21 17:05:49 +0000