MATLAB: Financial toolbox/Credit risk utilities/Transprob function/SnapsperYear

Financial Toolboxtransprob snapshots

For a single client this is the information on dates an ratings 30.06.12 AAA 31.08.12 AAA 30.09.12 AA 31.10.12 AA 30.11.12 AA 31.12.12 A 31.01.13 A 28.02.13 A 31.03.13 BBB 30.04.13 BB 31.05.13 CCC 30.06.13 D
Transprob function, cohort method, snaps 6, I get the following transition probabilities (from 30.06.12-30.06.13) AAA to AAA 1.5625, AAA to AA 1.5625, AAA to A 15.625, AAA to BB 12.5, AAA to D 68.75. AA to A 3.125, AA to BB 3.125, AA to D 93.75, etc
Can someone please explain: How is 1.5625, 15.625, 12.5, 3.125 actually calculated (at least on one example)? If Snaps per year=12, the result is
AAA to AAA 0.771, AAA to AA 4.624, AAA to A 12.717, AAA to BBB 5.299, AAA to BB 6.503, AAA to CCC 7.804, AAA to D 62.282, etc.
How is for example 0.771 calculated? Or 12.717?
Duration method:
AAA to AAA 1.872, AAA to AA 7.447, AAA to A 14.438, AAA to BBB 5.631, AAA to BB 6.651, AAA to CCC 7.099, AAA to D 56.864, etc
How is e.g. 7.447 (AAA to AA) calculated or 7.099 (AAA to CCC)? Best regards Aleksandar

Best Answer

The Algorithm section in the transprob doc page tells you about how they go about calculating it:
http://www.mathworks.com/help/finance/transprob.html
If you want further info you will have to open up the code:
>> edit transprob
And you can see the exact implementation there.
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