1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
|
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);
|
