From 8966b9753f876250182ef75a8c4294d523f2126a Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 8 May 2014 13:40:58 -0400
Subject: implement skew mapping by doing tranche loss proportion mapping

---
 src/lossdistrib.c | 59 +++++++++++++++++++++++++++++++++++++++++++++++++++----
 1 file changed, 55 insertions(+), 4 deletions(-)

(limited to 'src')

diff --git a/src/lossdistrib.c b/src/lossdistrib.c
index f12ab2f..e5f2c53 100644
--- a/src/lossdistrib.c
+++ b/src/lossdistrib.c
@@ -728,10 +728,10 @@ void lossdistrib_joint_Z(double *dp, int *ndp, double *w,
   free(qmat);
 }
 
-void BClossdist(double *defaultprob, 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_dist(double *defaultprob, int *dim1, int *dim2,
+		       double *issuerweights, double *recov, double *Z, double *w,
+		       int *n, double *rho, int *N, int *defaultflag,
+		       double *L, double *R) {
   /*
     computes the loss and recovery distribution over time with a flat gaussian
     correlation
@@ -788,3 +788,54 @@ void BClossdist(double *defaultprob, int *dim1, int *dim2,
   free(Lw);
   free(Rw);
 }
+
+
+void BCloss_dist(double *defaultprob, int *dim1, int *dim2,
+      double *issuerweights, double *recov, double *Z, double *w,
+      int *n, double *rho, int *N, int *defaultflag,
+      double *L) {
+  /*
+    computes the loss distribution over time with a flat gaussian
+    correlation
+    inputs:
+      defaultprob: matrix of size dim1 x dim2. dim1 is the number of issuers
+      and dim2 number of time steps
+      issuerweights: vector of issuer weights (length dim1)
+      recov: vector of recoveries (length dim1)
+      Z: vector of factor values (length n)
+      w: vector of factor weights (length n)
+      rho: correlation beta vector (length dim1)
+      N: number of ticks in the grid
+      defaultflag: if true, computes the default distribution
+    outputs:
+      L: matrix of size (N, dim2)
+   */
+  int t, i, j;
+  double g;
+  double *gshocked, *Sshocked, *Lw;
+  int one = 1;
+  double alpha = 1;
+  double beta = 0;
+
+  gshocked = malloc((*dim1) * (*n) * sizeof(double));
+  Sshocked = malloc((*dim1) * (*n) * sizeof(double));
+  Lw = malloc((*N) * (*n) * sizeof(double));
+
+  for(t=0; t < (*dim2); t++) {
+    memset(Lw, 0, (*N) * (*n) * sizeof(double));
+    #pragma omp parallel for private(j, g)
+    for(i=0; i < *n; i++){
+      for(j=0; j < (*dim1); j++){
+        g = defaultprob[j + (*dim1) * t];
+        gshocked[j+(*dim1)*i] = shockprob(g, rho[j], Z[i], 0);
+        Sshocked[j+(*dim1)*i] = shockseverity(1-recov[j], Z[i], rho[j], g);
+      }
+      lossdistrib_blas(gshocked + (*dim1) * i, dim1, issuerweights, Sshocked + (*dim1)*i, N, defaultflag,
+		       Lw + i * (*N));
+    }
+    dgemv_("n", N, n, &alpha, Lw, N, w, &one, &beta, L + t * (*N), &one);
+  }
+  free(gshocked);
+  free(Sshocked);
+  free(Lw);
+}
-- 
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