Index A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W A acceptance_fraction (merton.calibration.bayesian_mcmc.BayesianCalibrationResult attribute) accuracy_ratio (merton.backtest.backtest.BacktestResult attribute) (merton.backtest.rolling.RollingBacktestResult attribute) accuracy_ratio() (in module merton.backtest.metrics) add_firm() (merton.portfolio.portfolio.Portfolio method) add_metric() (merton.backtest.backtest.Backtest method) analytic_vasicek() (merton.portfolio.portfolio.Portfolio method) app (in module merton.cli.commands.config) (in module merton.cli.commands.excel) (in module merton.cli.main) apply() (merton.scenarios.base.CompositeScenario method) (merton.scenarios.base.Scenario method) (merton.scenarios.climate.ClimateScenario method) (merton.scenarios.shocks.debt_shock method) (merton.scenarios.shocks.equity_shock method) (merton.scenarios.shocks.rate_shock method) (merton.scenarios.shocks.vol_shock method) ARG_DOCS (in module merton.excel.functions) as_tuple() (merton.calibration.covariance.ConfInt method) asof (merton.core.firm.Firm attribute) asset_class (merton.portfolio.portfolio.Portfolio attribute) (merton.portfolio.vasicek_factor.VasicekFactor attribute) asset_correlation_from_equity() (in module merton.portfolio.correlation) asset_drift (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute), [1] asset_value (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute) (merton.extensions.base.StructuralResult attribute) asset_value_series (merton.core.result.MertonResult attribute) asset_vol (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute) (merton.extensions.base.StructuralResult attribute) asset_writedown() (merton.scenarios.climate.ClimateScenario method) auc (merton.backtest.backtest.BacktestResult attribute) (merton.backtest.rolling.RollingBacktestResult attribute) auc() (in module merton.backtest.metrics) (merton.backtest.roc.ROCCurve method) autocorr_time (merton.calibration.bayesian_mcmc.BayesianCalibrationResult attribute) available_methods() (in module merton.calibration.base) B backend (merton.core.model.MertonModel attribute) BackendDispatchError BackendError BackendNotAvailableError Backtest (class in merton.backtest.backtest) BacktestResult (class in merton.backtest.backtest) bankruptcy_cost (merton.extensions.leland_toft.LelandToftModel attribute) barrier_growth_rate (merton.extensions.black_cox.BlackCoxModel attribute) base (merton.extensions.climate.ClimateOverlay attribute) basel_irb_capital() (in module merton.portfolio.vasicek_factor) basel_irb_correlation() (in module merton.portfolio.correlation) (in module merton.portfolio.vasicek_factor) batch_fit() (in module merton.batch.panel) bayesian_mcmc() (in module merton.calibration.bayesian_mcmc) BayesianCalibrationResult (class in merton.calibration.bayesian_mcmc) BayesianMCMCCalibrator (class in merton.calibration.bayesian_mcmc) bin_counts (merton.backtest.calibration.CalibrationCurve attribute) black_cox_pd() (in module merton.extensions.black_cox) black_cox_survival() (in module merton.extensions.black_cox) BlackCoxModel (class in merton.extensions.black_cox) block_bootstrap_calibration() (in module merton.calibration.bootstrap) block_length (merton.calibration.bootstrap.BootstrapResult attribute) (merton.core.model.MertonModel attribute) BootstrapResult (class in merton.calibration.bootstrap) brier (merton.backtest.backtest.BacktestResult attribute) (merton.backtest.rolling.RollingBacktestResult attribute) brier() (in module merton.backtest.metrics) build_functions_metadata() (in module merton.excel.server) burn_in (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) C cached() (in module merton.cache) calibration (merton.backtest.backtest.BacktestResult attribute) calibration_curve() (in module merton.backtest.calibration) calibration_plot() (in module merton.backtest.calibration) CalibrationConvergenceError CalibrationCurve (class in merton.backtest.calibration) CalibrationError CalibrationResult (class in merton.calibration.base) Calibrator (class in merton.calibration.base) capital() (merton.portfolio.vasicek_factor.VasicekFactor method) carbon_price() (merton.scenarios.climate.ClimateScenario method) carbon_price_curve() (in module merton.scenarios.climate) carbon_price_path (merton.scenarios.climate.ClimateScenario attribute) carbon_price_to_writedown() (in module merton.scenarios.climate) chain (merton.calibration.bayesian_mcmc.BayesianCalibrationResult attribute) ci() (merton.calibration.bootstrap.BootstrapResult method) clear() (in module merton.cache) ClimateOverlay (class in merton.extensions.climate) ClimateScenario (class in merton.scenarios.climate) columns (merton.core.panel.FirmPanel property) CompositeScenario (class in merton.scenarios.base) compute_default_point() (in module merton.core.default_point) confidence_interval() (merton.core.result.MertonResult method) ConfInt (class in merton.calibration.covariance) console (in module merton.cli.commands.config) (in module merton.cli.commands.doctor) (in module merton.cli.commands.excel) (in module merton.cli.commands.fit) CONSUMER (merton.scenarios.climate.Sector attribute) contributions (merton.portfolio.loss_distribution.LossDistribution attribute) converged (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute) copula_name (merton.portfolio.portfolio.Portfolio attribute) correlation (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) (merton.portfolio.portfolio.Portfolio attribute) (merton.portfolio.portfolio.PortfolioResult attribute) coupon (merton.extensions.leland_toft.LelandToftModel attribute) cov_from_hessian() (in module merton.calibration.covariance) covariance (merton.calibration.base.CalibrationResult attribute), [1] covariance_ (merton.core.result.MertonResult attribute) credible_interval() (merton.calibration.bayesian_mcmc.BayesianCalibrationResult method) creditgrades_pd() (in module merton.extensions.creditgrades) creditgrades_spread() (in module merton.extensions.creditgrades) creditgrades_survival() (in module merton.extensions.creditgrades) CreditGradesModel (class in merton.extensions.creditgrades) current_policies() (in module merton.scenarios.predefined.ngfs) CUSTOM (merton.core.default_point.DefaultPoint attribute) custom_default_point (merton.core.firm.Firm attribute) D d1_d2() (in module merton.core.pricing) DataQualityError dd (merton.core.result.MertonResult attribute), [1] (merton.extensions.base.StructuralResult attribute) dd_series (merton.core.result.MertonResult attribute) debt_long (merton.core.firm.Firm attribute) (merton.core.panel.FirmPanel property) debt_per_share (merton.extensions.creditgrades.CreditGradesModel attribute) debt_shock (class in merton.scenarios.shocks) debt_short (merton.core.firm.Firm attribute) (merton.core.panel.FirmPanel property) default_col (merton.backtest.backtest.Backtest attribute) DEFAULT_HORIZONS (in module merton.core.term_structure) DEFAULT_LAMBDA (in module merton.extensions.creditgrades) DEFAULT_LBAR (in module merton.extensions.creditgrades) DEFAULT_MU_RANGE (in module merton.calibration.bayesian_mcmc) default_point (merton.core.firm.Firm attribute) (merton.core.result.MertonResult attribute), [1] (merton.extensions.base.StructuralResult attribute) default_point_value() (merton.core.firm.Firm method) DEFAULT_SIGMA_RANGE (in module merton.calibration.bayesian_mcmc) DefaultPoint (class in merton.core.default_point) DefaultPointLike (in module merton.core.default_point) delayed_transition() (in module merton.scenarios.predefined.ngfs) delta (merton.scenarios.shocks.rate_shock attribute) delta_method() (in module merton.calibration.covariance) derived_samples (merton.calibration.bootstrap.BootstrapResult attribute) description (merton.scenarios.base.ScenarioResult attribute) (merton.scenarios.climate.ClimateScenario attribute) deterministic_add_in_id() (in module merton.excel.manifest) df (merton.portfolio.copulas.student_t.TCopula attribute) (merton.portfolio.portfolio.Portfolio attribute) diagnostics (merton.calibration.base.CalibrationResult attribute), [1] (merton.extensions.base.StructuralResult attribute) (merton.portfolio.portfolio.PortfolioResult attribute) diagnostics_ (merton.core.result.MertonResult attribute), [1] DimensionMismatchError disable() (in module merton.cache) (in module merton.obs) distance_to_default() (in module merton.core.distance) dividend_yield (merton.core.firm.Firm attribute) duan_mle() (in module merton.calibration.duan_mle) DuanMLECalibrator (class in merton.calibration.duan_mle) E economic_capital() (merton.portfolio.loss_distribution.LossDistribution method) edf_map (merton.calibration.kmv_iterative.KMVCalibrator attribute) EDFMap (in module merton.calibration.kmv_iterative) effective_n() (in module merton.portfolio.concentration) effective_rho() (merton.portfolio.vasicek_factor.VasicekFactor method) enable() (in module merton.cache) (in module merton.logging) (in module merton.obs) ENERGY (merton.scenarios.climate.Sector attribute) equity (merton.core.firm.Firm attribute) (merton.core.panel.FirmPanel property) equity_delta (merton.greeks.equity.GreeksResult attribute) equity_delta() (in module merton.greeks.equity) equity_delta_ad() (in module merton.greeks.autodiff) equity_gamma (merton.greeks.equity.GreeksResult attribute) equity_gamma() (in module merton.greeks.equity) equity_gamma_ad() (in module merton.greeks.autodiff) equity_rho (merton.greeks.equity.GreeksResult attribute) equity_rho() (in module merton.greeks.equity) equity_rho_ad() (in module merton.greeks.autodiff) equity_shock (class in merton.scenarios.shocks) equity_theta (merton.greeks.equity.GreeksResult attribute) equity_theta() (in module merton.greeks.equity) equity_theta_ad() (in module merton.greeks.autodiff) equity_value() (in module merton.core.pricing) equity_vega (merton.greeks.equity.GreeksResult attribute) equity_vega() (in module merton.greeks.equity) equity_vega_ad() (in module merton.greeks.autodiff) equity_vol (merton.core.firm.Firm attribute) (merton.core.panel.FirmPanel property) eta (merton.extensions.longstaff_schwartz.VasicekParams attribute) EXCEL_FUNCTIONS (in module merton.excel.functions) ExcelError expected_loss (merton.portfolio.portfolio.PortfolioResult attribute) expected_shortfall() (merton.portfolio.loss_distribution.LossDistribution method) exposures (merton.portfolio.portfolio.PortfolioResult attribute) ExtensionError extra (merton.backtest.backtest.BacktestResult attribute) F factor (merton.scenarios.shocks.debt_shock attribute) (merton.scenarios.shocks.equity_shock attribute) (merton.scenarios.shocks.vol_shock attribute) FINANCIALS (merton.scenarios.climate.Sector attribute) Firm (class in merton.core.firm) firm (merton.core.result.MertonResult attribute), [1] (merton.extensions.base.StructuralResult attribute) (merton.scenarios.base.ScenarioResult attribute) firm_contributions() (merton.portfolio.loss_distribution.LossDistribution method) FirmPanel (class in merton.core.panel) firms() (merton.core.panel.FirmPanel method) fit() (in module merton.core.model) (merton.calibration.base.Calibrator method) (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator method) (merton.calibration.duan_mle.DuanMLECalibrator method) (merton.calibration.jmr_iterative.JMRCalibrator method) (merton.calibration.kmv_iterative.KMVCalibrator method) (merton.calibration.naive.NaiveCalibrator method) (merton.calibration.vassalou_xing.VassalouXingCalibrator method) (merton.core.model.MertonModel method) (merton.extensions.base.StructuralModel method) (merton.extensions.black_cox.BlackCoxModel method) (merton.extensions.climate.ClimateOverlay method) (merton.extensions.creditgrades.CreditGradesModel method) (merton.extensions.geske.GeskeModel method) (merton.extensions.jump_diffusion.JumpDiffusionModel method) (merton.extensions.leland_toft.LelandToftModel method) (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel method) (merton.portfolio.portfolio.Portfolio method) fpr (merton.backtest.roc.ROCCurve attribute) fraction_positives (merton.backtest.calibration.CalibrationCurve attribute) fragmented_world() (in module merton.scenarios.predefined.ngfs) from_arrow() (merton.core.panel.FirmPanel class method) from_calibration() (merton.core.result.MertonResult class method) from_csv() (merton.core.panel.FirmPanel class method) from_dict() (merton.core.firm.Firm class method) (merton.core.panel.FirmPanel class method) from_pandas() (merton.core.panel.FirmPanel class method) from_panel() (merton.core.firm.Firm class method) from_parquet() (merton.core.panel.FirmPanel class method) from_polars() (merton.core.panel.FirmPanel class method) from_yfinance() (merton.core.firm.Firm class method) G GaussianCopula (class in merton.portfolio.copulas.gaussian) geske_equity_value() (in module merton.extensions.geske) geske_pd() (in module merton.extensions.geske) GeskeModel (class in merton.extensions.geske) get() (in module merton.calibration.base) get_logger() (in module merton.logging) get_params() (merton.core.model.MertonModel method) get_tracer() (in module merton.obs) granularity_adjustment() (in module merton.portfolio.concentration) greeks() (in module merton.greeks.equity) (merton.core.result.MertonResult method) GreeksResult (class in merton.greeks.equity) group_col (merton.backtest.backtest.Backtest attribute) H head() (merton.core.panel.FirmPanel method) HEADLINE_SCENARIOS (in module merton.scenarios.predefined.ngfs) HEALTHCARE (merton.scenarios.climate.Sector attribute) hhi() (in module merton.portfolio.concentration) histogram() (merton.portfolio.loss_distribution.LossDistribution method) horizon (merton.core.firm.Firm attribute) hosmer_lemeshow (merton.backtest.backtest.BacktestResult attribute) hosmer_lemeshow() (in module merton.backtest.metrics) I implied_credit_spread() (in module merton.core.spread) implied_spread() (merton.core.result.MertonResult method) INDUSTRIALS (merton.scenarios.climate.Sector attribute) install() (in module merton.cli.commands.excel) (in module merton.excel.installer) InsufficientDataError intensity (merton.extensions.climate.ClimateOverlay attribute) is_enabled() (in module merton.cache) (in module merton.obs) is_installed() (in module merton.excel.installer) J jmr_iterative() (in module merton.calibration.jmr_iterative) JMRCalibrator (class in merton.calibration.jmr_iterative) jump_diffusion_pd() (in module merton.extensions.jump_diffusion) jump_intensity (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) jump_mean (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) jump_std (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) JumpDiffusionModel (class in merton.extensions.jump_diffusion) K kappa (merton.extensions.longstaff_schwartz.VasicekParams attribute) KMV (merton.core.default_point.DefaultPoint attribute) kmv_iterative() (in module merton.calibration.kmv_iterative) KMVCalibrator (class in merton.calibration.kmv_iterative) ks (merton.backtest.backtest.BacktestResult attribute) (merton.backtest.rolling.RollingBacktestResult attribute) ks_statistic() (in module merton.backtest.metrics) L lam (merton.extensions.creditgrades.CreditGradesModel attribute) lbar (merton.extensions.creditgrades.CreditGradesModel attribute) leland_toft_debt_value() (in module merton.extensions.leland_toft) leland_toft_equity_value() (in module merton.extensions.leland_toft) leland_toft_pd() (in module merton.extensions.leland_toft) LelandToftModel (class in merton.extensions.leland_toft) level (merton.calibration.covariance.ConfInt attribute) lgd (merton.portfolio.vasicek_factor.VasicekFactor attribute) lgds (merton.portfolio.portfolio.Portfolio attribute) (merton.portfolio.portfolio.PortfolioResult attribute) log_likelihood (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute) log_probs (merton.calibration.bayesian_mcmc.BayesianCalibrationResult attribute) long_factor (merton.scenarios.shocks.debt_shock attribute) longstaff_schwartz_pd_analytic() (in module merton.extensions.longstaff_schwartz) longstaff_schwartz_pd_mc() (in module merton.extensions.longstaff_schwartz) LongstaffSchwartzModel (class in merton.extensions.longstaff_schwartz) loss_cdf() (merton.portfolio.vasicek_factor.VasicekFactor method) LossDistribution (class in merton.portfolio.loss_distribution) losses (merton.portfolio.loss_distribution.LossDistribution attribute) lower (merton.calibration.covariance.ConfInt attribute) M make_app() (in module merton.excel.server) MANIFEST_FILENAME (in module merton.excel.installer) ManifestInstallError MATERIALS (merton.scenarios.climate.Sector attribute) maturity (merton.portfolio.vasicek_factor.VasicekFactor attribute) max_iter (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) (merton.calibration.duan_mle.DuanMLECalibrator attribute) (merton.calibration.jmr_iterative.JMRCalibrator attribute) (merton.calibration.kmv_iterative.KMVCalibrator attribute) (merton.calibration.vassalou_xing.VassalouXingCalibrator attribute) (merton.core.model.MertonModel attribute) (merton.extensions.black_cox.BlackCoxModel attribute) (merton.extensions.geske.GeskeModel attribute) (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) (merton.extensions.leland_toft.LelandToftModel attribute) (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) mc_paths (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) mc_seed (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) mc_steps (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) mean() (merton.portfolio.loss_distribution.LossDistribution method) mean_predicted (merton.backtest.calibration.CalibrationCurve attribute) merton module merton.backtest module merton.backtest.backtest module merton.backtest.calibration module merton.backtest.metrics module merton.backtest.roc module merton.backtest.rolling module merton.batch module merton.batch.dispatch module merton.batch.panel module merton.cache module merton.calibration module merton.calibration.base module merton.calibration.bayesian_mcmc module merton.calibration.bootstrap module merton.calibration.covariance module merton.calibration.duan_mle module merton.calibration.jmr_iterative module merton.calibration.kmv_iterative module merton.calibration.naive module merton.calibration.vassalou_xing module merton.cli module merton.cli.commands module merton.cli.commands.config module merton.cli.commands.doctor module merton.cli.commands.excel module merton.cli.commands.fit module merton.cli.main module merton.core module merton.core.default_point module merton.core.distance module merton.core.firm module merton.core.model module merton.core.panel module merton.core.physical module merton.core.pricing module merton.core.result module merton.core.spread module merton.core.term_structure module merton.excel module merton.excel.functions module merton.excel.installer module merton.excel.manifest module merton.excel.sample module merton.excel.server module merton.excel.udf module merton.exceptions module merton.extensions module merton.extensions.base module merton.extensions.black_cox module merton.extensions.climate module merton.extensions.creditgrades module merton.extensions.geske module merton.extensions.jump_diffusion module merton.extensions.leland_toft module merton.extensions.longstaff_schwartz module merton.greeks module merton.greeks.autodiff module merton.greeks.equity module merton.greeks.pd_sensitivity module merton.greeks.spread_sensitivity module merton.logging module merton.obs module merton.portfolio module merton.portfolio.concentration module merton.portfolio.copulas module merton.portfolio.copulas.gaussian module merton.portfolio.copulas.student_t module merton.portfolio.correlation module merton.portfolio.loss_distribution module merton.portfolio.portfolio module merton.portfolio.vasicek_factor module merton.reports module merton.reports.html module merton.scenarios module merton.scenarios.base module merton.scenarios.climate module merton.scenarios.predefined module merton.scenarios.predefined.ngfs module merton.scenarios.shocks module merton_asset_value() (in module merton.excel.functions) merton_asset_vol() (in module merton.excel.functions) merton_backtest() (in module merton.excel.functions) merton_black_cox() (in module merton.excel.functions) merton_dd() (in module merton.excel.functions) merton_greeks() (in module merton.excel.functions) merton_pd() (in module merton.excel.functions) merton_pd_term() (in module merton.excel.functions) merton_portfolio_var() (in module merton.excel.functions) merton_spread() (in module merton.excel.functions) MertonBackendFallbackWarning MertonError MertonInputError MertonModel (class in merton.core.model) MertonNumericalWarning MertonResult (class in merton.core.result) MertonWarning method (merton.calibration.base.CalibrationResult attribute), [1] (merton.calibration.base.Calibrator attribute) (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) (merton.calibration.covariance.ConfInt attribute) (merton.calibration.duan_mle.DuanMLECalibrator attribute) (merton.calibration.jmr_iterative.JMRCalibrator attribute) (merton.calibration.kmv_iterative.KMVCalibrator attribute) (merton.calibration.naive.NaiveCalibrator attribute) (merton.calibration.vassalou_xing.VassalouXingCalibrator attribute) (merton.core.model.MertonModel attribute) (merton.core.result.MertonResult attribute), [1] (merton.extensions.base.StructuralModel attribute) (merton.extensions.base.StructuralResult attribute) (merton.extensions.black_cox.BlackCoxModel attribute) (merton.extensions.climate.ClimateOverlay attribute) (merton.extensions.creditgrades.CreditGradesModel attribute) (merton.extensions.geske.GeskeModel attribute) (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) (merton.extensions.leland_toft.LelandToftModel attribute) (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) module 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 N n (merton.portfolio.copulas.gaussian.GaussianCopula attribute) (merton.portfolio.copulas.student_t.TCopula attribute) n_bootstrap (merton.core.model.MertonModel attribute) n_iter (merton.calibration.base.CalibrationResult attribute), [1] (merton.core.result.MertonResult attribute) n_resamples (merton.calibration.bootstrap.BootstrapResult attribute) n_steps (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) n_walkers (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) naive() (in module merton.calibration.naive) NaiveCalibrator (class in merton.calibration.naive) name (merton.scenarios.base.CompositeScenario attribute) (merton.scenarios.climate.ClimateScenario attribute) (merton.scenarios.shocks.debt_shock attribute) (merton.scenarios.shocks.equity_shock attribute) (merton.scenarios.shocks.rate_shock attribute) (merton.scenarios.shocks.vol_shock attribute) net_zero_2050() (in module merton.scenarios.predefined.ngfs) NonFiniteInputError O optimal_default_boundary() (in module merton.extensions.leland_toft) P panel (merton.backtest.backtest.Backtest attribute) parallel_map() (in module merton.batch.dispatch) parameter_samples (merton.calibration.bootstrap.BootstrapResult attribute) parameters (merton.scenarios.base.ScenarioResult attribute) pass_through (merton.scenarios.climate.ClimateScenario attribute) pd (merton.core.result.MertonResult attribute), [1] (merton.extensions.base.StructuralResult attribute) (merton.portfolio.vasicek_factor.VasicekFactor attribute) pd_col (merton.backtest.backtest.Backtest attribute) pd_dleverage (merton.greeks.equity.GreeksResult attribute) pd_drate (merton.greeks.equity.GreeksResult attribute) pd_dvol (merton.greeks.equity.GreeksResult attribute) pd_leverage_sensitivity() (in module merton.greeks.pd_sensitivity) pd_leverage_sensitivity_ad() (in module merton.greeks.autodiff) pd_multiplier() (merton.scenarios.climate.ClimateScenario method) pd_multipliers (merton.scenarios.climate.ClimateScenario attribute) pd_rate_sensitivity() (in module merton.greeks.pd_sensitivity) pd_rate_sensitivity_ad() (in module merton.greeks.autodiff) pd_series (merton.core.result.MertonResult attribute) pd_term_structure() (merton.core.result.MertonResult method) pd_vol_sensitivity() (in module merton.greeks.pd_sensitivity) pd_vol_sensitivity_ad() (in module merton.greeks.autodiff) pds (merton.portfolio.portfolio.PortfolioResult attribute) physical_measure (merton.core.model.MertonModel attribute) physical_pd() (in module merton.core.physical) (merton.core.result.MertonResult method) physical_writedown (merton.scenarios.climate.ClimateScenario attribute) Portfolio (class in merton.portfolio.portfolio) PortfolioResult (class in merton.portfolio.portfolio) prob_of_default() (in module merton.core.distance) Q quantile() (merton.portfolio.loss_distribution.LossDistribution method) R r0 (merton.extensions.longstaff_schwartz.VasicekParams attribute) random_state (merton.core.model.MertonModel attribute) rate_shock (class in merton.scenarios.shocks) REAL_ESTATE (merton.scenarios.climate.Sector attribute) recovery_rate (merton.extensions.black_cox.BlackCoxModel attribute) (merton.extensions.geske.GeskeModel attribute) register() (in module merton.calibration.base) render_backtest_report() (in module merton.reports.html) render_manifest() (in module merton.excel.manifest) replace() (merton.core.firm.Firm method) reset() (in module merton.cli.commands.config) residuals_ (merton.core.result.MertonResult attribute) rf (merton.core.firm.Firm attribute) (merton.core.panel.FirmPanel property) rho (merton.portfolio.vasicek_factor.VasicekFactor attribute) roc (merton.backtest.backtest.BacktestResult attribute) roc_curve() (in module merton.backtest.roc) ROCCurve (class in merton.backtest.roc) rolling_window() (in module merton.backtest.rolling) RollingBacktestResult (class in merton.backtest.rolling) run() (in module merton.cli.commands.doctor) (in module merton.cli.commands.fit) (merton.backtest.backtest.Backtest method) run_server() (in module merton.excel.server) S sample() (merton.portfolio.copulas.gaussian.GaussianCopula method) (merton.portfolio.copulas.student_t.TCopula method) sample_normal() (merton.portfolio.copulas.gaussian.GaussianCopula method) sample_workbook() (in module merton.cli.commands.excel) Scenario (class in merton.scenarios.base) scenario (merton.extensions.climate.ClimateOverlay attribute) (merton.scenarios.base.ScenarioResult attribute) ScenarioResult (class in merton.scenarios.base) scenarios (merton.scenarios.base.CompositeScenario attribute) se (merton.calibration.covariance.ConfInt attribute) Sector (class in merton.scenarios.climate) sector (merton.extensions.climate.ClimateOverlay attribute) sectoral_carbon_intensity() (in module merton.scenarios.climate) seed (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) server_app (in module merton.cli.commands.excel) server_start() (in module merton.cli.commands.excel) server_status() (in module merton.cli.commands.excel) server_stop() (in module merton.cli.commands.excel) ServerStartupError set_() (in module merton.cli.commands.config) set_params() (merton.core.model.MertonModel method) sharpe_ratio (merton.core.model.MertonModel attribute) short_factor (merton.scenarios.shocks.debt_shock attribute) SHORT_ONLY (merton.core.default_point.DefaultPoint attribute) show() (in module merton.cli.commands.config) sideload_directory() (in module merton.excel.installer) simulate() (merton.portfolio.portfolio.Portfolio method) simulate_jump_diffusion() (in module merton.extensions.jump_diffusion) span() (in module merton.obs) spread_sensitivity() (in module merton.greeks.spread_sensitivity) SpreadInput (in module merton.greeks.spread_sensitivity) standard_errors() (in module merton.calibration.covariance) status() (in module merton.cli.commands.excel) std() (merton.portfolio.loss_distribution.LossDistribution method) StructuralModel (class in merton.extensions.base) StructuralResult (class in merton.extensions.base) suggested_fix (merton.exceptions.MertonError attribute) summary() (merton.backtest.backtest.BacktestResult method) (merton.core.result.MertonResult method) (merton.extensions.base.StructuralResult method) (merton.portfolio.loss_distribution.LossDistribution method) (merton.portfolio.portfolio.PortfolioResult method) survivor_bias_correction (merton.calibration.duan_mle.DuanMLECalibrator attribute) T t_short (merton.extensions.geske.GeskeModel attribute) table (merton.core.panel.FirmPanel property) tax_rate (merton.extensions.leland_toft.LelandToftModel attribute) TCopula (class in merton.portfolio.copulas.student_t) TECH (merton.scenarios.climate.Sector attribute) term_structure_pd() (in module merton.core.term_structure) theta (merton.extensions.longstaff_schwartz.VasicekParams attribute) thin (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) thresholds (merton.backtest.roc.ROCCurve attribute) ticker (merton.core.firm.Firm attribute) to_arrow() (merton.core.panel.FirmPanel method) to_csv() (merton.core.panel.FirmPanel method) to_dict() (merton.backtest.backtest.BacktestResult method) (merton.core.result.MertonResult method) (merton.greeks.equity.GreeksResult method) to_excel() (merton.core.result.MertonResult method) to_pandas() (merton.backtest.rolling.RollingBacktestResult method) (merton.core.panel.FirmPanel method) (merton.core.result.MertonResult method) (merton.greeks.equity.GreeksResult method) (merton.portfolio.loss_distribution.LossDistribution method) to_parquet() (merton.core.panel.FirmPanel method) to_polars() (merton.core.panel.FirmPanel method) (merton.core.result.MertonResult method) tol (merton.calibration.bayesian_mcmc.BayesianMCMCCalibrator attribute) (merton.calibration.duan_mle.DuanMLECalibrator attribute) (merton.calibration.jmr_iterative.JMRCalibrator attribute) (merton.calibration.kmv_iterative.KMVCalibrator attribute) (merton.calibration.vassalou_xing.VassalouXingCalibrator attribute) (merton.core.model.MertonModel attribute) (merton.extensions.black_cox.BlackCoxModel attribute) (merton.extensions.geske.GeskeModel attribute) (merton.extensions.jump_diffusion.JumpDiffusionModel attribute) (merton.extensions.leland_toft.LelandToftModel attribute) (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) TOTAL (merton.core.default_point.DefaultPoint attribute) total_debt (merton.core.firm.Firm property) tpr (merton.backtest.roc.ROCCurve attribute) traced() (in module merton.obs) TRANSPORT (merton.scenarios.climate.Sector attribute) U uninstall() (in module merton.cli.commands.excel) (in module merton.excel.installer) upper (merton.calibration.covariance.ConfInt attribute) UTILITIES (merton.scenarios.climate.Sector attribute) V var() (merton.portfolio.loss_distribution.LossDistribution method) (merton.portfolio.vasicek_factor.VasicekFactor method) vasicek (merton.extensions.longstaff_schwartz.LongstaffSchwartzModel attribute) vasicek_loss_cdf() (in module merton.portfolio.vasicek_factor) vasicek_var() (in module merton.portfolio.vasicek_factor) VasicekFactor (class in merton.portfolio.vasicek_factor) VasicekParams (class in merton.extensions.longstaff_schwartz) vassalou_xing() (in module merton.calibration.vassalou_xing) VassalouXingCalibrator (class in merton.calibration.vassalou_xing) vol_shock (class in merton.scenarios.shocks) W wald_ci() (in module merton.calibration.covariance) warm_cache() (in module merton) weights (merton.portfolio.loss_distribution.LossDistribution attribute) weights_col (merton.backtest.backtest.Backtest attribute) window_starts (merton.backtest.rolling.RollingBacktestResult attribute) write_manifest() (in module merton.excel.manifest) write_sample_workbook() (in module merton.excel.sample)