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path: root/src/lossdistrib.h
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extern int dgemv_(char* trans, int *m, int *n, double* alpha, double* A, int* lda,
                  double* x, int* incx, double* beta, double* y, int* incy);
extern double ddot_(int* n, double* dx, int* incx, double* dy, int* incy);
extern int dscal_(int* n, double* da, double* dx, int* incx);
extern int daxpy_(int* n, double* da, double* dx, int* incx, double* dy, int* incy);
extern int dstev_(char* JOBZ, int* n, double* D, double* E, double* Z, int* ldz, double* WORK, int* INFO);
extern void openblas_set_num_threads(int);

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);

static inline void posK(int T, double K, double lu, double* val);

void exp_trunc(double *p, int *np, double *w, double *S, int *N, double *K,
               double *r);

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);

void BCloss_recov_trunc(double *defaultprob, int *dim1, int *dim2,
                        double *issuerweights, double *recov, double *Z, double *w,
                        int *n, double *rho, int *N, double * K, int *defaultflag,
                        double *ELt, double *ERt);

double quantile(double* Z, double* w, int nZ, double p0);

void GHquad(int *n, double* Z, double* w);