DtD v0.1.0

0

Monthly downloads

0th

Percentile

Distance to Default

Provides fast methods to work with Merton's distance to default model introduced in Merton (1974) <doi:10.1111/j.1540-6261.1974.tb03058.x>. The methods includes simulation and estimation of the parameters.

Functions in DtD

Name Description
BS_fit Fit Black-Scholes Parameters
BS_sim Simulate Stock Price and Price of Underlying Asset
BS_call European Call Option Price and the Inverse
No Results!

Vignettes of DtD

Name
Distance-to-default.Rnw
Distance-to-default.bib
No Results!

Last month downloads

Details

Type Package
License GPL-2
Encoding UTF-8
BugReports https://github.com/boennecd/DtD/issues
LazyData true
LinkingTo Rcpp, RcppArmadillo
VignetteBuilder knitr
RoxygenNote 6.0.1
SystemRequirements C++11
NeedsCompilation yes
Packaged 2018-05-01 21:34:24 UTC; User
Repository CRAN
Date/Publication 2018-05-02 19:50:09 UTC

Include our badge in your README

[![Rdoc](http://www.rdocumentation.org/badges/version/DtD)](http://www.rdocumentation.org/packages/DtD)