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: | 0.2.2 |
| Imports: | Rcpp,checkmate |
| LinkingTo: | Rcpp,RcppArmadillo |
| Suggests: | knitr,rmarkdown,testthat,microbenchmark |
| Published: | 2020-02-11 |
| DOI: | 10.32614/CRAN.package.DtD |
| Author: | Benjamin Christoffersen [cre, aut], R-core [cph], Robert Gentleman [cph], Ross Ihaka [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[issues need fixing before 2025-12-18] |
| Reference manual: | DtD.html ,DtD.pdf |
| Vignettes: | Using Distance to Default (source,R code) |
| Package source: | DtD_0.2.2.tar.gz |
| Windows binaries: | r-devel:DtD_0.2.2.zip, r-release:DtD_0.2.2.zip, r-oldrel:DtD_0.2.2.zip |
| macOS binaries: | r-release (arm64):DtD_0.2.2.tgz, r-oldrel (arm64):DtD_0.2.2.tgz, r-release (x86_64):DtD_0.2.2.tgz, r-oldrel (x86_64):DtD_0.2.2.tgz |
| Old sources: | DtD archive |
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