merton.greeks.spread_sensitivity

Sensitivity of the implied credit spread to its inputs.

The spread function is s = -ln(1 - PD·LGD) / T. Composing with the chain rule yields ∂s/∂x for x ∈ {asset_value, asset_vol, debt, rf, T} as a PD-times-Jacobian-scalar formula.

Attributes

SpreadInput

Functions

spread_sensitivity(→ merton._typing.FloatArray)

∂(spread)/∂(input) where input is one of leverage, vol, rate.

Module Contents

merton.greeks.spread_sensitivity.SpreadInput

merton.greeks.spread_sensitivity.spread_sensitivity(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, wrt: SpreadInput, lgd: merton._typing.ArrayLike = 0.6, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray

∂(spread)/∂(input) where input is one of leverage, vol, rate.