DtD v0.2.1

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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_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 No Results!