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: [10×1 datetime]
    DefaultProbabilities: [10×1 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 array | string array | date character vector

Survival probability dates, specified as a vector using a datetime array, string array, or date character vectors.

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

Output Arguments

outSurvProbs — Survival probability

numeric

Survival probability, returned as a numeric.

More About

Survival Probability

Survival probability quantifies the chance that an individual or entity will survive beyond a certain time point without experiencing the event in question.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although survprobs 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.