diff options
| author | Karl Berry <karl@freefriends.org> | 2010-10-03 23:05:41 +0000 |
|---|---|---|
| committer | Karl Berry <karl@freefriends.org> | 2010-10-03 23:05:41 +0000 |
| commit | 03424a93def5da4535267cf5f84f43ddc9dca37d (patch) | |
| tree | 7ed568889393347895b924c8f5d5542fc8228642 /Master/texmf-dist/dvips | |
| parent | 2f9ee80b6a23be81d9a49efefff1de8bfc16c346 (diff) | |
pst-func 0.70 (2oct10)
git-svn-id: svn://tug.org/texlive/trunk@19988 c570f23f-e606-0410-a88d-b1316a301751
Diffstat (limited to 'Master/texmf-dist/dvips')
| -rw-r--r-- | Master/texmf-dist/dvips/pst-func/pst-func.pro | 28 |
1 files changed, 27 insertions, 1 deletions
diff --git a/Master/texmf-dist/dvips/pst-func/pst-func.pro b/Master/texmf-dist/dvips/pst-func/pst-func.pro index f1f274dc54c..c190e16fb78 100644 --- a/Master/texmf-dist/dvips/pst-func/pst-func.pro +++ b/Master/texmf-dist/dvips/pst-func/pst-func.pro @@ -1,4 +1,4 @@ -%% $Id: pst-func.pro 355 2010-06-21 10:02:44Z herbert $ +%% $Id: pst-func.pro 391 2010-10-02 16:43:32Z herbert $ %% %% This is file `pst-func.pro', %% @@ -313,6 +313,32 @@ tx@FuncDict begin end } def % +/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 where { pop }{ /pd 0.22 def } ifelse % element of (0,1) probability of default of portfolio + /R2 where { pop }{ /R2 0.11 def } ifelse % element of (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} +% + +%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % subroutines for complex numbers, given as an array [a b] % which is a+bi = Real+i Imag % |