Sample workbook tour

merton excel sample-workbook --out=merton-sample.xlsx produces a multi-sheet .xlsx with worked examples of every formula.

Sheets

  • Read me — getting-started instructions inside the workbook.

  • Single firm — yellow input cells driving =MERTON.DD, MERTON.PD, MERTON.SPREAD, MERTON.ASSET_VALUE, MERTON.ASSET_VOL, MERTON.BLACK_COX. Includes a 1×6 spilled MERTON.GREEKS and a MERTON.PD_TERM dynamic array.

  • Portfolio — MERTON.PORTFOLIO_VAR with editable PD / LGD / ρ / confidence / maturity.

  • Backtest — toy PD/default series feeding MERTON.BACKTEST for AUC, Brier, and KS.

  • Function reference — every formula plus a one-line description.

Editing inputs

The yellow-filled cells are the only inputs you need to touch. Every other cell is a formula that recomputes when an input changes. To experiment with leverage shocks:

  1. Open Single firm.

  2. Change Debt (default point) from 35 to e.g. 60.

  3. Watch every output (DD, PD, SPREAD, Greeks, term structure) re-evaluate.

Regenerating the workbook

The sample is generated programmatically by merton.excel.sample.write_sample_workbook, so it’s version-controlled as code. If you customise it for your team, fork that function and re-run merton excel sample-workbook to produce your version.