Quarterly report pursuant to Section 13 or 15(d)

Significant Inputs and Assumptions Used in Binomial Lattice Model for Derivative Liability (Detail)

v3.3.1.900
Significant Inputs and Assumptions Used in Binomial Lattice Model for Derivative Liability (Detail) - $ / shares
1 Months Ended
Jun. 24, 2015
Apr. 30, 2015
Feb. 06, 2015
Sep. 26, 2014
May. 31, 2015
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]          
Adjusted conversion price   $ 0.675      
Derivative Liability          
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]          
Quoted market price on valuation date $ 0.90   $ 0.96 $ 0.79 $ 0.99
Contractual conversion rate 1.00   1.00 1.00 1.00
Adjusted conversion price [1] $ 0.6750   $ 1.0000 $ 0.9759 $ 0.6750
Contractual term to maturity (years) 1 month 13 days   5 months 27 days 2 years  
Expected volatility 48.00%   124.00% 123.00%  
Contractual interest rate 1.20%   2.00% 5.00%  
Risk-free rate 0.001%   0.045% 0.59%  
Risk adjusted rate 2.80%   2.78% 2.69% 2.80%
Probability of event of default 5.00%   5.00% 5.00% 5.00%
Derivative Liability | Minimum          
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]          
Contractual term to maturity (years)         2 months 5 days
Expected volatility         90.00%
Contractual interest rate         1.50%
Risk-free rate         0.041%
Derivative Liability | Maximum          
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]          
Contractual term to maturity (years)         1 year 3 months 29 days
Expected volatility         114.00%
Contractual interest rate         5.00%
Risk-free rate         0.48%
[1] The adjusted conversion price input used in the Binomial Lattice Model considers both i) the reduction of the conversion price to $0.675 on April 30, 2015, as result of the short-term convertible notes offering in which Common Stock was sold for a weighted average price of $0.75 and ii) potential adjustment to the stated conversion price due to a future dilutive issuance. This input was calculated using a probability-weighted approach which considered the likelihood of various scenarios occurring including (i) potential success or failure of various phases for PRO 140, (ii) the probability the Company will enter into a future financing and (iii) and the potential price of a future financing.