Function loan_ec::get_liquidity_risk_fn

pub fn get_liquidity_risk_fn(
    lambda: f64, 
    q: f64
) -> impl Fn(&Complex<f64>) -> Complex<f64>

Returns a function incorporating liquidity risk to the characteristic function. This function makes lambda negative: the probability of lambda occurring is -qX since X is negative.

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).