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.

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Description file content

Package
DtD
Type
Package
Title
Distance to Default
Version
0.2.1
Maintainer
Benjamin Christoffersen
Description
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.
License
GPL-2
Encoding
UTF-8
BugReports
https://github.com/boennecd/DtD/issues
LazyData
true
LinkingTo
Rcpp, RcppArmadillo
Imports
Rcpp, checkmate
Suggests
knitr, rmarkdown, testthat, microbenchmark
VignetteBuilder
knitr
RoxygenNote
6.0.1
SystemRequirements
C++11
NeedsCompilation
yes
Packaged
2019-01-10 13:15:53 UTC; boennecd
Author
Benjamin Christoffersen [cre, aut], R-core [cph]
Repository
CRAN
Date/Publication
2019-01-10 14:40:10 UTC

install.packages('DtD')

0.2.1

11 days ago

Benjamin Christoffersen

GPL-2

Imports

Rcpp, checkmate

Suggests

knitr, rmarkdown, testthat, microbenchmark

Discussions