SFEdefaproba (R 2.13.1)
SFEdefaproba plots the default probability as a function of the state of the economy
Tue, July 10 2012 by Dedy Dwi Prastyo
-Description: For 3 states of the economy (-3=bad, 0=typical, 3=good), plot the default probability as a function of the state of the economy is given.
rm(list=ls(all=TRUE)) graphics.off() x = seq(0,1,by=0.01) y1 = pnorm((qnorm(x)-sqrt(0.2)*(-3))/(sqrt(0.8))) y2 = pnorm((qnorm(x)-sqrt(0.2)*(0))/(sqrt(0.8))) y3 = pnorm((qnorm(x)-sqrt(0.2)*(3))/(sqrt(0.8))) plot(x,y1,col="blue",type="l",xlab="Probability Default",ylab="p(y)", lwd=2.5) lines(x,y2,col="black",lty=2, lwd=2.5) lines(x,y3,col="red",lty=4, lwd=2.5) legend(0.8,0.2, c("y=-3","y=0","y=3"),col=c("blue","black","red"),lty=c(1,2,4))