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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

Documentation:

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

Downloads:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=DtD to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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