merton.scenarios.shocks

Atomic firm-level shocks.

These are deterministic multiplicative or additive perturbations to single Firm fields. They are the lego pieces used to build composite stress scenarios (CCAR severely-adverse, EBA 2023, etc.) in merton.scenarios.predefined.

Each shock returns a ScenarioResult so the chain of transformations is fully introspectable for audit / reporting.

Classes

equity_shock	Multiplicative shock to equity value.
vol_shock	Multiplicative shock to equity volatility (σ_E).
rate_shock	Additive shock to the risk-free rate (r).
debt_shock	Multiplicative shock to total debt.

Module Contents

class merton.scenarios.shocks.equity_shock

Bases: merton.scenarios.base.Scenario

Multiplicative shock to equity value.

factor < 1 reflects an equity drawdown; factor > 1 a rally.

Examples

>>> from merton import Firm
>>> from merton.scenarios import equity_shock
>>> firm = Firm(equity=100, debt_short=10, debt_long=20, equity_vol=0.25)
>>> stressed = equity_shock(factor=0.7).apply(firm).firm
>>> stressed.equity
70.0

factor: float

name: str = 'equity_shock'

apply(firm: merton.core.firm.Firm, **kwargs: Any) → merton.scenarios.base.ScenarioResult

Return a stressed copy of firm with scenario metadata attached.

class merton.scenarios.shocks.vol_shock

Bases: merton.scenarios.base.Scenario

Multiplicative shock to equity volatility (σ_E).

factor: float

name: str = 'vol_shock'

apply(firm: merton.core.firm.Firm, **kwargs: Any) → merton.scenarios.base.ScenarioResult

Return a stressed copy of firm with scenario metadata attached.

class merton.scenarios.shocks.rate_shock

Bases: merton.scenarios.base.Scenario

Additive shock to the risk-free rate (r).

A 200-bps tightening is rate_shock(delta=0.02); an easing is rate_shock(delta=-0.01).

delta: float

name: str = 'rate_shock'

apply(firm: merton.core.firm.Firm, **kwargs: Any) → merton.scenarios.base.ScenarioResult

Return a stressed copy of firm with scenario metadata attached.

class merton.scenarios.shocks.debt_shock

Bases: merton.scenarios.base.Scenario

Multiplicative shock to total debt.

Applies factor independently to short- and long-term debt by default. Pass short_factor / long_factor to differentiate.

factor: float = 1.0

short_factor: float | None = None

long_factor: float | None = None

name: str = 'debt_shock'

apply(firm: merton.core.firm.Firm, **kwargs: Any) → merton.scenarios.base.ScenarioResult

Return a stressed copy of firm with scenario metadata attached.