Struct loan_ec::EconomicCapitalAttributes

pub struct EconomicCapitalAttributes { /* private fields */ }

Implementations

impl EconomicCapitalAttributes

Implements economic capital structure

pub fn new(num_u: usize, num_w: usize) -> EconomicCapitalAttributes

Creates a new (base) economic capital struct

pub fn process_loan<U>(
    &mut self,
    loan: &Loan,
    u_domain: &[Complex<f64>],
    log_lpm_cf: U
)where
    U: Fn(&Complex<f64>, &Loan) -> Complex<f64> + Sync + Send,

Adds a new loan to the portfolio

pub fn experiment_loan<U>(
    &self,
    loan: &Loan,
    u_domain: &[Complex<f64>],
    log_lpm_cf: U
) -> EconomicCapitalAttributeswhere
    U: Fn(&Complex<f64>, &Loan) -> Complex<f64> + Sync + Send,

Performs marginal analytics for a potential loan to the portfolio. The typical use case is for pricing a new loan that could potentially be added to the portfolio. For a loan already in the portfolio, the “process_loan” function should be used.

pub fn experiment_risk_contribution<U, V, T>(
    &self,
    loan: &Loan,
    u_domain: &[Complex<f64>],
    log_lpm_cf: U,
    lambda0: f64,
    q: f64,
    mgf_systemic: V,
    el_sys: &[f64],
    var_sys: &[f64],
    risk_measure_fn: T
) -> f64where
    U: Fn(&Complex<f64>, &Loan) -> Complex<f64> + Sync + Send,
    V: Fn(&[Complex<f64>]) -> Complex<f64> + Sync + Send,
    T: Fn(&[Complex<f64>]) -> f64 + Sync + Send,

Finds the risk contribution of a new loan. This can be called instead of experiment loan to provide a simpler API than obtaining the analytics from “experiment_loan” and running them through the “risk_contribution” function.

pub fn get_portfolio_expectation(&self, expectation_systemic: &[f64]) -> f64

Gets the expected value of the portfolio. This should be called after processing all the loans in the portfolio.

pub fn get_portfolio_variance(
    &self,
    expectation_systemic: &[f64],
    variance_systemic: &[f64]
) -> f64

Gets the variance of the portfolio. This should be called after processing all the loans in the portfolio.

pub fn get_full_cf<U>(&self, mgf: &U) -> Vec<Complex<f64>>where
    U: Fn(&[Complex<f64>]) -> Complex<f64> + Sync + Send,