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: 0.2.2
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


Reference manual: DtD.pdf
Vignettes: Using Distance to Default


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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