Function expected_tranche_loss 

pub fn expected_tranche_loss<R: Scalar>(
    pd: R,
    lgd: R,
    attach: f64,
    detach: f64,
    rho: R,
    copula: Copula,
) -> R

The LHP expected tranche loss E[min(max(L − A, 0), D − A)] as a pool-loss fraction, for unconditional default probability pd, loss given default lgd and asset correlation rho, under copula. Zero when pd ≤ 0.

Panics

On tranche bounds outside 0 ≤ attach < detach ≤ 1, a correlation outside [0, 1) or a Student-t degree of freedom not in (2, ∞) — validated by the instrument at construction.