Function loan_ec::expectation_liquidity

pub fn expectation_liquidity(lambda: f64, q: f64, expectation: f64) -> f64

Returns the expectation of a portfolio with liquidity risk

Arguments

• lambda - Sum of lambda0 (base loss in liquidity event) and the lambda element from the Loan struct.
• q - Probability of liquidity event (scaled by the total portfolio loss).
• expectation - Base expectation for the portfolio without liquidity risk. Can be computed using the get_portfolio_expectation method.

Examples

extern crate loan_ec;
let lambda=1.0;
let q=0.01;
let expectation=500.0;
let liq_exp=loan_ec::expectation_liquidity(lambda, q, expectation);