www.gusucode.com > risk 工具箱matlab源码程序 > risk/+risk/+internal/latent2losses.m
function [portLosses, counterpartyLosses] = latent2losses(Y,EAD,PD,LGD,copula,dof) % Convert latent variable realizations to default losses. % Copyright 2016 The MathWorks, Inc. % Default indicator if strcmpi(copula,'Gaussian') isDefault = bsxfun(@lt,Y,norminv(PD)); elseif strcmpi(copula,'t') isDefault = bsxfun(@lt,Y,tinv(PD,dof)); end counterpartyLosses = bsxfun(@times,bsxfun(@times,isDefault,EAD),LGD); portLosses = sum(counterpartyLosses,1);