Function basket_survival_probability 

pub fn basket_survival_probability<R: Scalar>(
    pds: &[R],
    rho: R,
    n: usize,
    copula: Copula,
) -> R

P(fewer than n defaults by t) for a finite basket under a one-factor copula: at each factor node the constituents’ conditional default probabilities feed a Poisson-binomial recursion truncated at n, and the lower tail integrates over the factor. Heterogeneous marginals are the point — each pd is typically read off its own survival curve.

Panics

On a rank outside 1..=k, a correlation outside [0, 1) or a Student-t degree of freedom not in (2, ∞) — validated by the instrument at construction.