https://github.com/boennecd/dtd

R package with fast methods for Merton's distance-to-default model
https://github.com/boennecd/dtd

blackscholes default finance

Last synced: 8 days ago
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R package with fast methods for Merton's distance-to-default model

• Host: GitHub
• URL: https://github.com/boennecd/dtd
• Owner: boennecd
• Created: 2018-04-29T10:24:24.000Z (almost 8 years ago)
• Default Branch: master
• Last Pushed: 2020-11-04T06:21:11.000Z (over 5 years ago)
• Last Synced: 2025-12-09T21:14:35.144Z (3 months ago)
• Topics: blackscholes, default, finance
• Language: R
• Homepage:
• Size: 1.26 MB
• Stars: 5
• Watchers: 1
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

          

DtD: Distance to Default

========================

[![Build Status on Travis](https://travis-ci.org/boennecd/DtD.svg?branch=master)](https://travis-ci.org/boennecd/DtD) [![](https://www.r-pkg.org/badges/version/DtD)](http://cran.rstudio.com/web/packages/DtD/index.html) [![CRAN RStudio mirror downloads](http://cranlogs.r-pkg.org/badges/DtD)](http://cran.rstudio.com/web/packages/DtD/index.html)

This package provides fast methods to work with Merton's distance to default model. The methods includes simulation and estimation of the parameters. It can be installed with `devtools` by calling

``` r

devtools::install_github("boennecd/DtD")

```

or install with the version on CRAN

``` r

install.packages("DtD")

```

See [this vignette](vignettes/Distance-to-default.pdf) for examples of how to use the functions.