Package: DtD 0.2.2

DtD: 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.

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

DtD_0.2.2.tar.gz
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DtD_0.2.2.tgz(r-4.4-x86_64)DtD_0.2.2.tgz(r-4.4-arm64)DtD_0.2.2.tgz(r-4.3-x86_64)DtD_0.2.2.tgz(r-4.3-arm64)
DtD_0.2.2.tar.gz(r-4.5-noble)DtD_0.2.2.tar.gz(r-4.4-noble)
DtD_0.2.2.tgz(r-4.4-emscripten)DtD_0.2.2.tgz(r-4.3-emscripten)
DtD.pdf |DtD.html✨
DtD/json (API)
NEWS

# Install 'DtD' in R:
install.packages('DtD', repos = c('https://boennecd.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/boennecd/dtd/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

blackscholesdefaultfinancecpp

5.09 score 5 stars 49 scripts 184 downloads 6 exports 4 dependencies

Last updated 4 years agofrom:806e86a938. Checks:1 OK, 8 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 05 2025
R-4.5-win-x86_64NOTEJan 05 2025
R-4.5-linux-x86_64NOTEJan 05 2025
R-4.4-win-x86_64NOTEJan 05 2025
R-4.4-mac-x86_64NOTEJan 05 2025
R-4.4-mac-aarch64NOTEJan 05 2025
R-4.3-win-x86_64NOTEJan 05 2025
R-4.3-mac-x86_64NOTEJan 05 2025
R-4.3-mac-aarch64NOTEJan 05 2025

Exports:BS_callBS_fitBS_fit_rollingBS_simget_underlyingmerton_ll

Dependencies:backportscheckmateRcppRcppArmadillo

Using Distance to Default

Rendered fromDistance-to-default.Rnwusingknitr::knitron Jan 05 2025.

Last update: 2020-01-06
Started: 2018-04-26