merton.extensions

Non-vanilla structural credit-risk models.

The package’s flagship merton.MertonModel covers the Merton (1974) setup. The extensions below relax one or more of its assumptions:

  • BlackCoxModel — default can be triggered at any time before maturity (first-passage barrier).

  • GeskeModel — multi-period debt structure via compound options.

  • CreditGradesModel — random default barrier (RiskMetrics 2002).

  • LelandToftModel — endogenous default with coupons and taxes.

  • JumpDiffusionModel — Merton/Zhou (1976/1997) jumps in asset value.

  • LongstaffSchwartzModel — stochastic Vasicek short rates + first-passage default.

Each extension exposes the same fit(firm) -> StructuralResult contract so downstream tooling (viz, backtest, portfolio) is agnostic to the model class.

Submodules