survprobs

Compute survival probability based on default probability curve

Syntax

outSurvProbs = survprobs(obj,inDates)

Description

outSurvProbs = survprobs(obj,inDates) computes the survival probability based on the default probability curve object.

Examples

Calculate Survival Probability Based on Default Probability Curve

Create a defprobcurve object using defprobcurve and then use survprobs to calculate the survival probability.

Settle = datetime(2017,9,20);
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]';
DefProbDates = Settle + DefProbTimes;
 
DefaultProbCurve = defprobcurve(Settle,DefProbDates,DefaultProbabilities,'Basis',5)

DefaultProbCurve = 
  defprobcurve with properties:

                  Settle: 20-Sep-2017
                   Basis: 5
                   Dates: [10x1 datetime]
    DefaultProbabilities: [10x1 double]

SurvProbTimes = [calmonths([6 12 18])];
SurvProbDates = Settle + SurvProbTimes;
outSurvProb = survprobs(DefaultProbCurve, SurvProbDates)

outSurvProb = 3×1

    0.9950
    0.9930
    0.9915

Input Arguments

obj — defprobcurve object

defprobcurve object

defprobcurve object, specified as a previously created defprobcurve object.

Data Types: object

inDates — Survival probability dates

datetime | serial date number | date character vector | date string

Survival probability dates, specified as a scalar datetime, serial date number, date character vector, or date string.

Data Types: double | char | string | datetime

Output Arguments

outSurvProbs — Survival probability

numeric

Survival probability, returned as a numeric.