  We propose a fast algorithm for computing the expected tranche loss in the
Gaussian factor model. We test it on portfolios ranging in size from 25 (the
size of DJ iTraxx Australia) to 100 (the size of DJCDX.NA.HY) with a single
factor Gaussian model and show that the algorithm gives accurate results. The
algorithm proposed here is an extension of the algorithm proposed in \cite{PO}.
The advantage of the new algorithm is that it works well for portfolios of
smaller size for which the normal approximation proposed in \cite{PO} in not
sufficiently accurate. The algorithm is intended as an alternative to the much
slower Fourier transform based methods \cite{MD}.
