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DtD (version 0.1.0)

Distance to Default

Description

Provides fast methods to work with Merton's distance to default model introduced in Merton (1974) . The methods includes simulation and estimation of the parameters.

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Version

Install

install.packages('DtD')

Monthly Downloads

201

Version

0.1.0

License

GPL-2

Maintainer

Benjamin Christoffersen

Last Published

May 2nd, 2018

Functions in DtD (0.1.0)

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