merton.core.term_structure

PD term-structure generation.

Given a fitted Merton model (asset value, asset volatility, default point, risk-free rate), return PDs across an array of horizons in one call. The helper here is exposed via MertonResult.pd_term_structure() for convenience.

Attributes

DEFAULT_HORIZONS

Functions

term_structure_pd(→ pandas.DataFrame)

Compute PDs for several horizons in one shot.

Module Contents

merton.core.term_structure.DEFAULT_HORIZONS: tuple[float, Ellipsis]

merton.core.term_structure.term_structure_pd(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, *, horizons: collections.abc.Iterable[float] = DEFAULT_HORIZONS, dividend_yield: merton._typing.ArrayLike = 0.0) → pandas.DataFrame

Compute PDs for several horizons in one shot.

Returns:

Columns: horizon_years (the input grid), dd (distance to default at that horizon), pd (risk-neutral PD).

Return type:

pandas.DataFrame