From 74fa05ce92c4d23d14cc6672ffefe3379a804bcd Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Tue, 10 Mar 2015 18:25:03 -0400
Subject: add an function for computing truncated expected loss

---
 R/distrib.R | 18 ++++++++++++++++++
 1 file changed, 18 insertions(+)

(limited to 'R')

diff --git a/R/distrib.R b/R/distrib.R
index 277b324..b2c028a 100644
--- a/R/distrib.R
+++ b/R/distrib.R
@@ -302,6 +302,24 @@ lossdistC.truncated <- function(p, w, S, N, T=N, defaultflag=FALSE){
        q = double(N))$q
 }
 
+exp.trunc <- function(p, w, S, N, K){
+    ## computes E[(K-L)^+]
+    r <- 0
+    .C("exp_trunc", as.double(p), as.integer(length(p)),
+       as.double(w), as.double(S), as.integer(N), as.double(K), res = r)$res
+}
+
+rec.trunc <- function(p, w, S, N, K){
+    ## computes E[(K-(1-R))^+] = E[(\tilde K- \bar R)]
+    ## where \tilde K = K-sum_i w_i S_i and \bar R=\sum_i w_i R_i (1-X_i)
+    Ktilde <- K-crossprod(w, S)
+    if(Ktilde < 0){
+        return( 0 )
+    }else{
+        return( exp.trunc(1-p, w, 1-S, N, Ktilde) )
+    }
+}
+
 recovdistC <- function(dp, pp, w, S, N){
     ## C version of recovdist
     .C("recovdist", as.double(dp), as.double(pp), as.integer(length(dp)),
-- 
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