defprobcurve

Create defprobcurve object for credit instrument

Description

Create a defprobcurve object for a credit instrument.

After creating a defprobcurve object, you can use the associated functions survprobs, hazardrates, and defprobstrip.

To price a CDS instrument, you must create a defprobcurve object and then create a Credit pricer object.

For more information on the available instruments, models, and pricing methods, see Choose Instruments, Models, and Pricers.

Creation

Syntax

DefaultProbCurve = defprobcurve(Settle,ProbDates,DefaultProbabilities)

DefaultProbCurve = defprobcurve(___,Name,Value)

Description

DefaultProbCurve = defprobcurve(Settle,ProbDates,DefaultProbabilities) creates a defprobcurve object.

DefaultProbCurve = defprobcurve(___,Name,Value) sets properties using name-value pairs and any of the arguments in the previous syntax. For example, DefaultProbCurve = defprobcurve(datetime(2017,1,30),[datetime(2018,1,30);datetime(2019,1,30)],[0.005 0.007],'Basis',2) creates a default probability curve object. You can specify multiple name-value pair arguments.

Input Arguments

Settle — Settle date for curve

datetime scalar | string scalar | date character vector

Settle date for curve, specified as a scalar datetime, string, or date character vector.

To support existing code, defprobcurve also accepts serial date numbers as inputs, but they are not recommended.

If you use a date character vector or string, the format must be recognizable by datetime because the Settle property is stored as a datetime.

ProbDates — Dates corresponding to DefaultProbabilities

datetime array | string array | date character vector

Dates corresponding to DefaultProbabilities, specified as an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, defprobcurve also accepts serial date numbers as inputs, but they are not recommended.

If you use a date character vector or string, the format must be recognizable by datetime because the ProbDates property is stored as a datetime.

DefaultProbabilities — Default probability data for the curve

vector

Default probability data for the curve, specified as a numeric vector.

Data Types: double

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: defprobcurve = defprobcurve(datetime(2017,1,30),[datetime(2018,1,30);datetime(2019,1,30)],[0.005 0.007],'Basis',2)

Basis — Day count basis

2 (actual/360) (default) | integer from 0 to 13

Day count basis, specified as the comma-separated pair consisting of 'Basis' and a scalar integer.

• 0 — actual/actual

• 1 — 30/360 (SIA)

• 2 — actual/360

• 3 — actual/365

• 4 — 30/360 (PSA)

• 5 — 30/360 (ISDA)

• 6 — 30/360 (European)

• 7 — actual/365 (Japanese)

• 8 — actual/actual (ICMA)

• 9 — actual/360 (ICMA)

• 10 — actual/365 (ICMA)

• 11 — 30/360E (ICMA)

• 12 — actual/365 (ISDA)

• 13 — BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

DefaultProbCurve — Default probability curve

defprobcurve object

Default probability curve, returned as a defprobcurve object.

Properties

Settle — Settlement date

datetime

Settlement date, returned as a datetime.

Data Types: datetime

Basis — Day count basis

Read-only: 2 (actual/360) (default) | integer from 0 to 13

This property is read-only.

Day count basis of the instrument, returned as a scalar integer.

Data Types: double

Dates — Dates corresponding to rate data

datetime

Dates corresponding to the rate data, returned as a datetime.

Data Types: datetime

DefaultProbabilities — Default probabilities for the curve

vector

Default probabilities for the curve, returned as a vector.

Data Types: double

Object Functions

survprobs	Compute survival probability based on default probability curve
hazardrates	Compute hazard rates based on default probability curve
defprobstrip	Bootstrap defprobcurve object from market CDS instruments

Examples

Create defprobcurve Object

Create a defprobcurve object using defprobcurve.

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]';
ProbDates = Settle + DefProbTimes;

DefaultProbCurve = defprobcurve(Settle,ProbDates,DefaultProbabilities,'Basis',2)

DefaultProbCurve = 
  defprobcurve with properties:

                  Settle: 20-Sep-2017
                   Basis: 2
                   Dates: [10×1 datetime]
    DefaultProbabilities: [10×1 double]

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although defprobcurve supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.