⚠️There's a newer version (0.2.2) of this package.Take me there.

DtD (version 0.2.1)

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.

Copy Link

Version

Install

install.packages('DtD')

Monthly Downloads

201

Version

0.2.1

License

GPL-2

Maintainer

Benjamin Christoffersen

Last Published

January 10th, 2019

Functions in DtD (0.2.1)

BS_fit_rolling

Fit Black-Scholes Parameters Over Rolling Window

merton_ll

Compute Log-Likelihood of Merton Model

BS_sim

Simulate Stock Price and Price of Underlying Asset

BS_call

European Call Option Price and the Inverse

BS_fit

Fit Black-Scholes Parameters