Excel integration quickstart

merton[excel] ships an xlwings Server + Office.js add-in so users can call Merton functions as native Excel formulas in Web, Mac, and Windows Excel.

Status: ships in Phase 0.6 (see Changelog). This page is a preview.

Install the add-in

pip install "merton[excel]"
merton excel install

Start the local server

merton excel server start --port 8000

Leave the terminal running — Excel calls it for every recalculation.

Use it

Formula	Returns
=MERTON_DD(E, σE, D, r, T)	distance to default
=MERTON_PD(E, σE, D, r, T)	probability of default
=MERTON_SPREAD(E, σE, D, r, T, LGD)	implied credit spread (bps)
=MERTON_ASSET_VALUE(E, σE, D, r, T)	inverted asset value
=MERTON_ASSET_VOL(E, σE, D, r, T)	inverted σ_A
=MERTON_PD_TERM(E, σE, D, r, {horizons…})	PD term structure (spilled array)
=MERTON_GREEKS(E, σE, D, r, T)	6-cell array of Greeks
=MERTON_BACKTEST(pd_range, defaults_range, "AUC")	model-validation metrics

Stop the server

merton excel server stop