DtD v0.2.2
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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 | Fit Black-Scholes Parameters | |
| BS_sim | Simulate Stock Price and Price of Underlying Asset | |
| merton_ll | Compute Log-Likelihood of Merton Model | |
| BS_call | European Call Option Price and the Inverse | |
| BS_fit_rolling | Fit Black-Scholes Parameters Over Rolling Window | |
| No Results! | ||
Vignettes of DtD
| Name | ||
| Distance-to-default.Rnw | ||
| Distance-to-default.bib | ||
| No Results! | ||
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Details
| Type | Package |
| License | GPL-2 |
| Encoding | UTF-8 |
| BugReports | https://github.com/boennecd/DtD/issues |
| LazyData | true |
| LinkingTo | Rcpp, RcppArmadillo |
| VignetteBuilder | knitr |
| RoxygenNote | 7.0.1 |
| SystemRequirements | C++11 |
| NeedsCompilation | yes |
| Packaged | 2020-02-11 08:17:16 UTC; boennecd |
| Repository | CRAN |
| Date/Publication | 2020-02-11 08:30:02 UTC |
| imports | checkmate , Rcpp |
| suggests | knitr , microbenchmark , rmarkdown , testthat |
| linkingto | RcppArmadillo |
| Contributors | R-core R-core@R-project.org, Robert Gentleman, Ross Ihaka |
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