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.


News

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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install.packages("DtD")

0.2.1 by Benjamin Christoffersen, 2 months 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]


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