Main Content

Workflow for Creating and Analyzing a defprobcurve

You can use defprobcurve or defprobstrip to create a defprobcurve object.

% defprobcurve
Settle = datetime(2019,9,20);
DefProbTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])];
DefaultProbabilities = [0.005 0.007 0.01 0.015 0.026 0.04 0.077 0.093 0.15 0.20]';
ProbDates = Settle + DefProbTimes;
DefaultProbCurve = defprobcurve(Settle,ProbDates,DefaultProbabilities)

DefaultProbCurve = 

  defprobcurve with properties:

                  Settle: 20-Sep-2019
                   Basis: 2
                   Dates: [10×1 datetime]
    DefaultProbabilities: [10×1 double]

You can then use the defprobcurve object with survprobs and hazardrates.

% hazardrates 
hazardrates(DefaultProbCurve)
ans =

    0.0099
    0.0039
    0.0030
    0.0050
    0.0111
    0.0142
    0.0194
    0.0057
    0.0064
    0.0060
% survprobs
Settle = datetime(2019,9,20);
SurvProbTimes = [calmonths([6 12 18])];
SurvProbDates = Settle + SurvProbTimes;
outSurvProb = survprobs(DefaultProbCurve, SurvProbDates)

outSurvProb =

    0.9950
    0.9930
    0.9915

See Also

| |

Related Topics