此示例显示如何引导默认概率曲线CDS
仪器。
略图
零曲线的对象创建一个略图
物体使用略图
。
解决= DateTime(2017,9,15);Zerotimes = [Calmonths(6)Calyears([1 2 3 4 5 7 10 20 30])];氮酸盐= [0.0052 0.0055 0.0061 0.0073 0.02222 0.022]'Zerodates = sold + zerotimes;zerocurve =阈值(“零”,沉淀,零氮酸盐,零)
Zerocurve = RateCurve具有属性:类型:“零”复合:-1基础:0日期:[10x1 DATETIME]汇率:[10x1双]定位:15-Sep-2017 Interpmethod:“Linear”ShortextrapMethod:“下一步”Longextrapmethod:“以前的”
定义市场CDS传播和使用Fininstrument.
创建市场矢量CDS
仪器对象。
Spreadtimes = [1 2 3 4 5 7 10 20 30]'展开= [140 175 210 265 310 360 410 460 490]';Marketdates = Demonnth(定居,12 *散席);nummarketinst =长度(Marketdates);ContractsPreadbp = 50. *那些(nummarketinst,1);MarketCDSInstruments(NummarketInst,1)= fininstrument(“CDS”那......'合约',契约普及(结束),'到期',Marketdates(END));为了k = 1:nummarketinst marketcdsinstruments(k,1)= fininstrument(“CDS”那......'合约',Contractspreadbp(k),'到期',Marketdates(k));结尾MarketCDStruments.
MarketCDSInStumens =9×1对象带有物业的9x1 CDS数组:合成熟悉成熟时期基础恢复BusinessDaysVention假期PayAccruedPremium名称
用defprobstrip.
那危险旗帜
,和SurvProbs.
分析市场的默认概率曲线CDS
仪器。
defaultprobcurve = defprobstrip(zerocurve,marketcdstruments,传播)
DefaultProbcurve = defprobcurve与属性:结算:15-Sep-2017基础:2日期:[9x1 DateTime] DefaultPabability:[9x1 Double]
Hazardrates = Hazardrates(DefaultProbcurve)
Hazardrates =9×10.0233 0.0352 0.0474 0.0751 0.0879 0.0887 0.1023 0.1059 0.2271
survivalprobabilities = survprobs(defaultprobcurve,marketdates)
survivalprobabilities =9×10.9766 0.9424 0.8981 0.8322 0.7612 0.6358 0.4658 0.1590 0.0159