From 2ca4f88a4fb14026b502ee7e54ebdc12d2b4b8b9 Mon Sep 17 00:00:00 2001 From: Guillaume Horel Date: Thu, 24 Apr 2014 13:43:37 -0400 Subject: initial import of lossdistrib package --- src/lossdistrib.h | 46 ++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 46 insertions(+) create mode 100644 src/lossdistrib.h (limited to 'src/lossdistrib.h') diff --git a/src/lossdistrib.h b/src/lossdistrib.h new file mode 100644 index 0000000..d4bd974 --- /dev/null +++ b/src/lossdistrib.h @@ -0,0 +1,46 @@ +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); + +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); + +double quantile(double* Z, double* w, int nZ, double p0); -- cgit v1.2.3-70-g09d2