I want to predict the cumulative risk of a prepayment for data from Q1 2016, where the loan grade was an A. I have data up to MOB (month on book) 27, but want to predict up to month 36.
sr.a_q2_16 <-
survreg(Surv(time=MOB,event=prepay)~1,data=q2_16[which(q1_16[,"grade"]=="A"),])
pred_a_q1_16 <- predict(sr.a_q1_16,newdata=data.frame(MOB=36),type="quantile",p=pct)
This prediction outputs I believe the hazard ratio, but i want the prepayment probability for each month. How can I find this?
Thank you
