В этом примере показано, как загрузить кривую вероятности по умолчанию для CDS приборы.
ratecurve Объект для нулевой кривойСоздайте ratecurve объект, использующий ratecurve.
Settle = datetime(2017,9,15);
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])];
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates)ZeroCurve =
ratecurve with properties:
Type: "zero"
Compounding: -1
Basis: 0
Dates: [10x1 datetime]
Rates: [10x1 double]
Settle: 15-Sep-2017
InterpMethod: "linear"
ShortExtrapMethod: "next"
LongExtrapMethod: "previous"
Определите рыночные спреды CDS и используйте fininstrument создать вектор рыночной CDS объекты прибора.
SpreadTimes = [1 2 3 4 5 7 10 20 30]'; Spread = [140 175 210 265 310 360 410 460 490]'; MarketDates = datemnth(Settle,12*SpreadTimes); NumMarketInst = length(MarketDates); ContractSpreadBP = 50.*ones(NumMarketInst,1); MarketCDSInstruments(NumMarketInst,1) = fininstrument("cds", ... 'ContractSpread', ContractSpreadBP(end), 'Maturity', MarketDates(end)); for k = 1:NumMarketInst MarketCDSInstruments(k,1) = fininstrument("cds", ... 'ContractSpread', ContractSpreadBP(k), 'Maturity', MarketDates(k)); end MarketCDSInstruments
MarketCDSInstruments=9×1 object
9x1 CDS array with properties:
ContractSpread
Maturity
Period
Basis
RecoveryRate
BusinessDayConvention
Holidays
PayAccruedPremium
Notional
Name
Использование defprobstrip, hazardrates, и survprobs анализ кривой вероятностей по умолчанию для рынка CDS приборы.
DefaultProbCurve = defprobstrip(ZeroCurve, MarketCDSInstruments, Spread)
DefaultProbCurve =
defprobcurve with properties:
Settle: 15-Sep-2017
Basis: 2
Dates: [9x1 datetime]
DefaultProbabilities: [9x1 double]
HazardRates = hazardrates(DefaultProbCurve)
HazardRates = 9×1
0.0233
0.0352
0.0474
0.0751
0.0879
0.0887
0.1023
0.1059
0.2271
SurvivalProbabilities = survprobs(DefaultProbCurve, MarketDates)
SurvivalProbabilities = 9×1
0.9766
0.9424
0.8981
0.8322
0.7612
0.6358
0.4658
0.1590
0.0159