boennecd / DtD

R package with fast methods for Merton's distance-to-default model

DtD: Distance to Default

This package provides fast methods to work with Merton's distance to default model. The methods includes simulation and estimation of the parameters. It can be installed with devtools by calling

devtools::install_github("boennecd/DtD")

or install with the version on CRAN

install.packages("DtD")

See this vignette for examples of how to use the functions.