diff options
author | Karl Berry <karl@freefriends.org> | 2010-11-04 00:10:45 +0000 |
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committer | Karl Berry <karl@freefriends.org> | 2010-11-04 00:10:45 +0000 |
commit | d84ed04dce1fca7ecbdbc8a503e9a7106f950058 (patch) | |
tree | 5d85cdfcad69b8cc2e16e7954e3b0c9d7d245642 | |
parent | 802438b15253966cad1d595d71fb05e5ff7441aa (diff) |
pst-func 0.71 (3nov10)
git-svn-id: svn://tug.org/texlive/trunk@20299 c570f23f-e606-0410-a88d-b1316a301751
-rw-r--r-- | Master/texmf-dist/doc/generic/pst-func/Changes | 1 | ||||
-rw-r--r-- | Master/texmf-dist/doc/generic/pst-func/pst-func-doc.bib | 14 | ||||
-rw-r--r-- | Master/texmf-dist/doc/generic/pst-func/pst-func-doc.pdf | bin | 2962203 -> 2964258 bytes | |||
-rw-r--r-- | Master/texmf-dist/doc/generic/pst-func/pst-func-doc.tex | 29 | ||||
-rw-r--r-- | Master/texmf-dist/tex/generic/pst-func/pst-func.tex | 14 |
5 files changed, 32 insertions, 26 deletions
diff --git a/Master/texmf-dist/doc/generic/pst-func/Changes b/Master/texmf-dist/doc/generic/pst-func/Changes index 73eee83f7a1..ff6ac422057 100644 --- a/Master/texmf-dist/doc/generic/pst-func/Changes +++ b/Master/texmf-dist/doc/generic/pst-func/Changes @@ -1,4 +1,5 @@ ..... pst-func.tex +0.71 2010-11-03 - allow option dotstyle for \psGaussI 0.70 2010-10-02 - moved vasicek as \psvasicek from pst-math to pst-func 0.69 2010-06-21 - fix bug with markZeros diff --git a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.bib b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.bib index 09cfa820745..af618fecc8b 100644 --- a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.bib +++ b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.bib @@ -134,18 +134,18 @@ @Book{PSTricks2, author = {Herbert Vo\ss}, title = {\texttt{PSTricks} -- {G}rafik f\"ur \TeX{} und \LaTeX}, - edition = {5.}, + edition = {6.}, publisher = {DANTE -- Lehmanns}, - year = {2008}, - address = {Heidelberg/Hamburg} + year = {2010}, + address = {Heidelberg/Berlin} } @Book{voss:math, author = {Herbert Vo\ss}, - title = {\LaTeX\ in {M}athematik und {N}aturwissenschaften}, - publisher = {{Franzis-Verlag}}, - year = {2006}, - address = {Poing} + title = {Typesetting mathematics with \LaTeX}, + publisher = {UIT}, + year = {2010}, + address = {Cambridge} } @Manual{wolfram, diff --git a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.pdf b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.pdf Binary files differindex b4522751363..fe22e463702 100644 --- a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.pdf +++ b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.pdf diff --git a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.tex b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.tex index 5051ed450c5..10b31b92ba3 100644 --- a/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.tex +++ b/Master/texmf-dist/doc/generic/pst-func/pst-func-doc.tex @@ -1,4 +1,4 @@ -%% $Id: pst-func-doc.tex 391 2010-10-02 16:43:32Z herbert $ +%% $Id: pst-func-doc.tex 411 2010-11-03 07:58:25Z herbert $ \documentclass[11pt,english,BCOR10mm,DIV12,bibliography=totoc,parskip=false, smallheadings, headexclude,footexclude,oneside]{pst-doc} \usepackage[utf8]{inputenc} @@ -61,6 +61,7 @@ Rafal Bartczuk, Buddy Ledger, Manuel Luque, Patrice Mégret, + Matthias Rüss, Jose-Emilio Vila-Forcen, Timothy Van Zandt, Michael Zedler, @@ -1473,21 +1474,23 @@ starts \Lcs{psWeinbull} with 0. \clearpage \subsection{Vasicek distribution} -The model specifies that the instantaneous interest rate follows the stochastic differential equation: +For a homogenous portfolio of infinite granularity the portfolio loss +distribution is given by -\begin{align} -\mathrm{d}r_t = a(b-r_t)\, \mathrm{d}t + \sigma \, \mathrm{d}W_t -\end{align} -with the solution: +\[ +\mathbb{P}(L(P)<x)=1-\mathcal{N} + \left(\frac{\mathcal{N}^{-1}(PD)-\sqrt{1-R2}\cdot\mathcal{N}^{-1}(x)}{R} + \right) +\] +$L(P)$ denotes the portfolio loss in percent. $pd$ is the uniform default +probability and $R2$ is the uniform asset correlation. + +They are preset to $pd=0.22$ and $R2=0.11$ and can be overwritten in the +usual way. The macro uses the PostScript function norminv from the package +pst-math +which is loaded by default and also shown in the following example. -\begin{align} - r(t) = r(0) e^{-a t} + b \left(1- e^{-a t}\right) + \sigma e^{-a t}\int_0^t e^{a s}\,dW_s -\end{align} -Possible parameters are \Lkeyword{pd} for the probability of the defualt portfolio -and \Lkeyword{R2}, the R$_\mathrm{squared}$ of the portfolio. They are preset to 0.22 and 0.11 -and can be overwritten in the usual way. The macro uses the PostScript function \Lps{norminv} -from the package \LPack{pst-math} which is loaded by default and also shown in the following example. \begin{LTXexample}[pos=t] \psset{xunit=5} diff --git a/Master/texmf-dist/tex/generic/pst-func/pst-func.tex b/Master/texmf-dist/tex/generic/pst-func/pst-func.tex index a10b9c025b1..9596aa42367 100644 --- a/Master/texmf-dist/tex/generic/pst-func/pst-func.tex +++ b/Master/texmf-dist/tex/generic/pst-func/pst-func.tex @@ -1,4 +1,4 @@ -%% $Id: pst-func.tex 391 2010-10-02 16:43:32Z herbert $ +%% $Id: pst-func.tex 411 2010-11-03 07:58:25Z herbert $ %% %% This is file `pst-func.tex', %% @@ -30,8 +30,8 @@ % interface to the `xkeyval' package \pst@addfams{pst-func} % -\def\fileversion{0.70} -\def\filedate{2010/10/2} +\def\fileversion{0.71} +\def\filedate{2010/11/03} \message{`PST-func' v\fileversion, \filedate\space (hv)} % \pstheader{pst-func.pro} @@ -226,6 +226,7 @@ % \def\psGaussI{\pst@object{psGaussI}} \def\psGaussI@i#1#2{% + \addbefore@par{plotpoints=200,plotstyle=line} \begin@OpenObj% \addto@pscode{ /a #1 def @@ -239,14 +240,15 @@ Euler exch \psk@mue\space sub dup mul 2 div \psk@sigma\space dup mul div neg exp C mul } def end - a scx 0 moveto +% a scx 0 moveto + a scx 0 \@nameuse{beginqp@\psplotstyle} \psk@plotpoints 1 sub { a b \psk@Simpson % a b M on Stack tx@FuncDict begin Simpson I end % y value on stack - scy b scx exch lineto + scy b scx exch \@nameuse{doqp@\psplotstyle} %lineto /b b dx add def } repeat - stroke +% stroke }% \end@OpenObj% } |