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library(lossdistrib)
p <- runif(1000)
S <- runif(1000)
issuer.weights <- rep(1/1000,1000)
run1 <- system.time(for(i in 1:1000){
lossdistC(p, issuer.weights, S, 301)
})
cat("simple lossdist", run1["elapsed"], "\n")
S <- matrix(runif(1000*500), 1000, 500)
rho <- rep(0.45, 1000)
temp <- GHquad(500)
Z <- temp$Z
w <- temp$w
test <- lossdistCZ(p, issuer.weights, S, 301, FALSE, rho, Z)
p <- matrix(runif(100*25), 100, 25)
issuer.weights <- rep(1/100, 100)
S <- runif(100)
cat("I'm here")
rho <- rep(0.45, 100)
test <- BClossdistC(p, issuer.weights, 1-S, rho, temp$Z, temp$w)
# the blas function should be roughly twice as fast
cat("blas lossdist", run2["elapsed"], "\n")
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