defprobcurveМожно использовать defprobcurve или defprobstrip для создания defprobcurve объект.
% 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]Затем можно использовать defprobcurve объект с survprobshazardrates.
% 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
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