--- a/financepy/models/loss_dbn_builder.py
+++ b/financepy/models/loss_dbn_builder.py
@@ -47,11 +47,9 @@
         v_exact += loss_ratio2 * cond_probs[i_credit] * (1.0 - cond_probs[i_credit])
 
     mean_loss = p * num_credits
-    mean_above = round(mean_loss + 1)
-    mean_below = round(mean_loss)
-
-    if mean_above > num_credits:
-        mean_above = num_credits
+    # Use adjacent support points bracketing the mean, including endpoints.
+    mean_below = min(int(np.floor(mean_loss)), num_credits - 1)
+    mean_above = mean_below + 1
 
     diff_above = mean_above - mean_loss
     diff_below = mean_below - mean_loss