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Implied Default Probability Function
by David Wang
This function is to calculate the implied default probability from the DOC model.
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% This function is to calculate values of N(.) to within six decimal places accuracy. Haug(1998) %
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function Ans=N(x)
a1=0.31938153;
a2=-0.356563782;
a3=1.781477937;
a4=-1.821255978;
a5=1.330274429;
L=abs(x);
k=1/(1+0.2316419*L);
Ans=1-1/sqrt(2*pi)*exp(-L^2/2)*...
(a1*k+a2*k^2+a3*k^3+a4*k^4+a5*k^5);
if x<0
Ans=1-Ans;
end
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