diff options
| author | Karl Berry <karl@freefriends.org> | 2010-09-30 22:53:50 +0000 |
|---|---|---|
| committer | Karl Berry <karl@freefriends.org> | 2010-09-30 22:53:50 +0000 |
| commit | 70f4dde5113ebf40e4ea4009f40cb2b77a5598a8 (patch) | |
| tree | b525b8e681f3bfce9772e0aed680de67e13cf382 /Master/texmf-dist/dvips | |
| parent | c10f8829c217b6699fdd00dae7735deeece7a560 (diff) | |
pst-math (30sep10)
git-svn-id: svn://tug.org/texlive/trunk@19962 c570f23f-e606-0410-a88d-b1316a301751
Diffstat (limited to 'Master/texmf-dist/dvips')
| -rw-r--r-- | Master/texmf-dist/dvips/pst-math/pst-math.pro | 46 |
1 files changed, 44 insertions, 2 deletions
diff --git a/Master/texmf-dist/dvips/pst-math/pst-math.pro b/Master/texmf-dist/dvips/pst-math/pst-math.pro index e2570773379..ae1b1db1436 100644 --- a/Master/texmf-dist/dvips/pst-math/pst-math.pro +++ b/Master/texmf-dist/dvips/pst-math/pst-math.pro @@ -4,8 +4,8 @@ % Author : Christophe JORSSEN % Author : Herbert Voß <hvoss@tug.org> % Created the : Sat 20 March 2004 -% Last Mod : $Date: 2009/08/27 $ -% Version : 0.5 $ +% Last Mod : $Date: 2010/09/29 $ +% Version : 0.6 $ % /PI 3.14159265359 def /ENeperian 2.71828182846 def @@ -224,5 +224,47 @@ end end } def % +/c@_0 2.515517 def +/c@_1 0.802853 def +/c@_2 0.010328 def +/d@_1 1.432788 def +/d@_2 0.189269 def +/d@_3 0.001308 def +/norminv { + 5 dict begin + neg 1 add 1 exch div ln 2 mul sqrt + /t exch def + /t2 t dup mul def + /t3 t2 t mul def + c@_0 c@_1 t mul add c@_2 t2 mul add 1 d@_1 t mul add + d@_2 t2 mul add d@_3 t3 mul add div neg t add + end +} def +%end{norminv Michael Sharpe} +% +/vasicek{ %density=sqrt((1-R2)/R2)*exp(1/2*(norminv(x)2 - (1/sqrt(R2)*((sqrt(1-R2)*norminv(x)-norminv(pd)))2)) + 2 dict begin + /pd 0.22 def % (0,1) probability of default of portfolio + /R2 0.11 def % (0,1) R_Squared of portfolio + dup % x x + norminv % x norminv(x) + dup mul % x norminv(x)^2 + exch % norminv(x)2 x + norminv % norminv(x)2 norminv(x) + 1 R2 sub sqrt mul % norminv(x)2 sqrt(1-R2)*norminv(x) + pd norminv sub % norminv(x)2 sqrt(1-R2)*norminv(x)-norminv(pd) + R2 sqrt div % norminv(x)2 1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)) + dup mul % norminv(x)2 (1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2 + sub % norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2 + 2 div % 1/2*(norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2) + ENeperian exch exp % exp(1/2*(norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2) + 1 R2 sub % exp(1/2*(norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2) 1-R2 + R2 div % exp(1/2*(norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2) (1-R2)/R2 + sqrt % exp(1/2*(norminv(x)2 -(1/sqrt(R2)*(sqrt(1-R2)*norminv(x)-norminv(pd)))2) sqrt((1-R2)/R2) + mul % sqrt((1-R2)/R2)*exp(1/2*(norminv(x)2 - (1/sqrt(R2)*((sqrt(1-R2)*norminv(x)-norminv(pd)))2)) + end +} def +%end{vasicek density} +% % % END pst-math.pro |