def conditional_loss_ratio(loss_ratios, poes, probability):
    """
    Return the loss ratio corresponding to the given PoE (Probability
    of Exceendance). We can have four cases:

      1. If `probability` is in `poes` it takes the bigger
         corresponding loss_ratios.

      2. If it is in `(poe1, poe2)` where both `poe1` and `poe2` are
         in `poes`, then we perform a linear interpolation on the
         corresponding losses

      3. if the given probability is smaller than the
         lowest PoE defined, it returns the max loss ratio .

      4. if the given probability is greater than the highest PoE
         defined it returns zero.

    :param loss_ratios: an iterable over non-decreasing loss ratio
                        values (float)
    :param poes: an iterable over non-increasing probability of
                 exceedance values (float)
    :param float probability: the probability value used to
                              interpolate the loss curve
    """
    assert len(loss_ratios) >= 3, loss_ratios
    rpoes = poes[::-1]
    if probability > poes[0]:  # max poes
        return 0.0
    elif probability < poes[-1]:  # min PoE
        return loss_ratios[-1]
    if probability in poes:
        return max([loss
                    for i, loss in enumerate(loss_ratios)
                    if probability == poes[i]])
    else:
        interval_index = bisect.bisect_right(rpoes, probability)

        if interval_index == len(poes):  # poes are all nan
            return float('nan')
        elif interval_index == 1:  # boundary case
            x1, x2 = poes[-2:]
            y1, y2 = loss_ratios[-2:]
        else:
            x1, x2 = poes[-interval_index-1:-interval_index + 1]
            y1, y2 = loss_ratios[-interval_index-1:-interval_index + 1]

        return (y2 - y1) / (x2 - x1) * (probability - x1) + y1
Return the loss ratio corresponding to the given PoE (Probability
    of Exceendance). We can have four cases:

      1. If `probability` is in `poes` it takes the bigger
         corresponding loss_ratios.

      2. If it is in `(poe1, poe2)` where both `poe1` and `poe2` are
         in `poes`, then we perform a linear interpolation on the
         corresponding losses

      3. if the given probability is smaller than the
         lowest PoE defined, it returns the max loss ratio .

      4. if the given probability is greater than the highest PoE
         defined it returns zero.

    :param loss_ratios: an iterable over non-decreasing loss ratio
                        values (float)
    :param poes: an iterable over non-increasing probability of
                 exceedance values (float)
    :param float probability: the probability value used to
                              interpolate the loss curve