Distance to Default

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.


DtD 0.2.1

  • Fixed typos and errors in vignette.

DtD 0.2.0

  • More stable computations are used in the iterative method. Thus, the results of the methods may have been changed slightly.
  • A method have been added to compute the parameters over a rolling window.
  • A method have been added to compute the log-likelihood.

Reference manual

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0.2.2 by Benjamin Christoffersen, a year ago

Report a bug at https://github.com/boennecd/DtD/issues

Browse source code at https://github.com/cran/DtD

Authors: Benjamin Christoffersen [cre, aut] , R-core [cph] , Robert Gentleman [cph] , Ross Ihaka [cph]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-2 license

Imports Rcpp, checkmate

Suggests knitr, rmarkdown, testthat, microbenchmark

Linking to Rcpp, RcppArmadillo

System requirements: C++11

See at CRAN