Function finite_pool_tranche_loss 

pub fn finite_pool_tranche_loss<R: Scalar>(
    pd: R,
    lgd: R,
    attach: f64,
    detach: f64,
    rho: R,
    names: u32,
) -> R

The expected tranche loss E[min(max(L − A, 0), D − A)] of a finite homogeneous pool of names identical names under the Gaussian copula, as a pool-loss fraction: at each factor node the number of defaults is binomial on the conditional default probability, the tranche loss is its expectation over that distribution — each name losing lgd / names — and the factor integrates on the same grid as the large pool. This is exact for a homogeneous pool, and the large pool is its limit.

The [0, 1] tranche is the pool’s expected loss pd · lgd whatever names. Zero when pd ≤ 0.

Panics

On tranche bounds outside 0 ≤ attach < detach ≤ 1, a correlation outside [0, 1) or zero names — validated by the instrument.