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merton
merton

Getting started

  • Installation
  • First fit in five minutes
  • Excel integration quickstart

Theory

  • The Merton 1974 model
  • KMV / Crosbie-Bohn adjustments
  • Calibration methods
  • Black-Cox first-passage model
  • Geske compound options
  • CreditGrades
  • Leland-Toft endogenous default
  • Jump-diffusion (Merton 1976 / Zhou 1997)
  • Longstaff-Schwartz two-factor model
  • Climate overlay
  • Vasicek single-factor portfolio model
  • Copulas for portfolio loss simulation
  • Scenarios and stress framework
  • Backtest metrics
  • Bayesian MCMC calibration

Tutorials

  • Tutorial 1 — single firm, AAPL-style walk-through
  • Climate scenarios with NGFS Phase V

Excel

  • Excel — installation and sideloading
  • Excel function reference
  • Sample workbook tour

Cookbook

  • Panel fitting
  • JAX acceleration
  • Fitting very large panels (10 000+ firms)
  • Fetching market data with yfinance
  • Fetching data from Bloomberg
  • Building a live Excel credit dashboard
  • OpenTelemetry observability
  • Scaling out: Spark and Dask

Performance

  • Benchmarks
  • Backend selection guide
  • Apple Silicon notes
  • Free-threaded Python (PEP 703)

API reference

  • API Reference
    • merton
      • merton.backtest
        • merton.backtest.backtest
        • merton.backtest.calibration
        • merton.backtest.metrics
        • merton.backtest.roc
        • merton.backtest.rolling
      • merton.batch
        • merton.batch.dispatch
        • merton.batch.panel
      • merton.cache
      • merton.calibration
        • merton.calibration.base
        • merton.calibration.bayesian_mcmc
        • merton.calibration.bootstrap
        • merton.calibration.covariance
        • merton.calibration.duan_mle
        • merton.calibration.jmr_iterative
        • merton.calibration.kmv_iterative
        • merton.calibration.naive
        • merton.calibration.vassalou_xing
      • merton.cli
        • merton.cli.commands
          • merton.cli.commands.config
          • merton.cli.commands.doctor
          • merton.cli.commands.excel
          • merton.cli.commands.fit
        • merton.cli.main
      • merton.core
        • merton.core.default_point
        • merton.core.distance
        • merton.core.firm
        • merton.core.model
        • merton.core.panel
        • merton.core.physical
        • merton.core.pricing
        • merton.core.result
        • merton.core.spread
        • merton.core.term_structure
      • merton.excel
        • merton.excel.functions
        • merton.excel.installer
        • merton.excel.manifest
        • merton.excel.sample
        • merton.excel.server
        • merton.excel.udf
      • merton.exceptions
      • merton.extensions
        • merton.extensions.base
        • merton.extensions.black_cox
        • merton.extensions.climate
        • merton.extensions.creditgrades
        • merton.extensions.geske
        • merton.extensions.jump_diffusion
        • merton.extensions.leland_toft
        • merton.extensions.longstaff_schwartz
      • merton.greeks
        • merton.greeks.autodiff
        • merton.greeks.equity
        • merton.greeks.pd_sensitivity
        • merton.greeks.spread_sensitivity
      • merton.logging
      • merton.obs
      • merton.portfolio
        • merton.portfolio.concentration
        • merton.portfolio.copulas
          • merton.portfolio.copulas.gaussian
          • merton.portfolio.copulas.student_t
        • merton.portfolio.correlation
        • merton.portfolio.loss_distribution
        • merton.portfolio.portfolio
        • merton.portfolio.vasicek_factor
      • merton.reports
        • merton.reports.html
      • merton.scenarios
        • merton.scenarios.base
        • merton.scenarios.climate
        • merton.scenarios.predefined
          • merton.scenarios.predefined.ngfs
        • merton.scenarios.shocks

Project

  • API stability
  • Migrating to 1.0
  • Announcing merton 1.0
  • Changelog
  • References
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merton.batch¶

Panel-scale calibration utilities.

Submodules¶

  • merton.batch.dispatch
  • merton.batch.panel
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