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.

Version: 0.2.1
Imports: Rcpp, checkmate
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown, testthat, microbenchmark
Published: 2019-01-10
Author: Benjamin Christoffersen [cre, aut], R-core [cph]
Maintainer: Benjamin Christoffersen <boennecd at gmail.com>
BugReports: https://github.com/boennecd/DtD/issues
License: GPL-2
NeedsCompilation: yes
SystemRequirements: C++11
Materials: NEWS
In views: Finance
CRAN checks: DtD results


Reference manual: DtD.pdf
Vignettes: Using Distance to Default
Package source: DtD_0.2.1.tar.gz
Windows binaries: r-devel: DtD_0.2.1.zip, r-release: DtD_0.2.1.zip, r-oldrel: DtD_0.2.1.zip
OS X binaries: r-release: DtD_0.2.1.tgz, r-oldrel: DtD_0.2.1.tgz
Old sources: DtD archive


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