/// <summary> /// Vector of expected loss as of time t, for equity tranche with horizon T and detachment adjustedDetachment. /// Expressed as fraction of total index. adjustedDetachment is compensated for vector of realised losses. /// </summary> /// <param name="expectedLoss">Return the expected loss.</param> /// <param name="expectedRecovery">Return the expected recovery.</param> /// <param name="realizedLoss">Input realized loss.</param> /// <param name="realizedRecovery">Input realized recovery.</param> public override void ExpectedLossAndRecovery(Vector expectedLoss, Vector expectedRecovery, double t, double T, Vector adjustedDetachment, Vector realizedLoss, Vector realizedRecovery) { expectedRecovery.Clear(); EL.GetValue(expectedLoss, t, T, adjustedDetachment); expectedLoss.MultiplyBy(VectorMath.Max(0.0, 1.0 - realizedLoss)); }