Merton Firm
financepy.models.merton_firm
Classes
MertonFirm
MertonFirm(asset_value: float | numpy.ndarray, debt_face_value: float | numpy.ndarray, time_to_maturity: float | numpy.ndarray, risk_free_rate: float | numpy.ndarray, asset_drift: float | numpy.ndarray, asset_volatility: float | numpy.ndarray) -> None
Merton structural firm-value model.
Inputs may be scalars or NumPy arrays and are broadcast using NumPy rules.
Parameters
----------
asset_value : float or np.ndarray
Market value of the firm's assets, A(t).
debt_face_value : float or np.ndarray
Face value of zero-coupon debt, F.
time_to_maturity : float or np.ndarray
Time to debt maturity, tau = T - t, in years.
risk_free_rate : float or np.ndarray
Continuously compounded risk-free rate.
asset_drift : float or np.ndarray
Physical expected return on the firm's assets.
asset_volatility : float or np.ndarray
Volatility of the firm's asset value.
Methods
asset_value
asset_value(self) -> numpy.ndarray
Return the firm's asset value.
debt_face_value
debt_face_value(self) -> numpy.ndarray
Return the debt face value.
time_to_maturity
time_to_maturity(self) -> numpy.ndarray
Return time to maturity.
risk_free_rate
risk_free_rate(self) -> numpy.ndarray
Return the risk-free rate.
asset_drift
asset_drift(self) -> numpy.ndarray
Return the physical asset drift.
asset_volatility
asset_volatility(self) -> numpy.ndarray
Return the asset volatility.
asset_to_debt_ratio
asset_to_debt_ratio(self) -> numpy.ndarray
Return A(t) / F.
equity_value
equity_value(self) -> numpy.ndarray
Return the market value of equity.
debt_value
debt_value(self) -> numpy.ndarray
Return the market value of risky zero-coupon debt.
equity_volatility
equity_volatility(self) -> numpy.ndarray
Return the equity volatility implied by the Merton model.
risky_yield
risky_yield(self) -> numpy.ndarray
Return the continuously compounded risky debt yield.
credit_spread
credit_spread(self) -> numpy.ndarray
Return the continuously compounded credit spread.
distance_to_default
distance_to_default(self) -> numpy.ndarray
Return the physical-measure distance to default.
This uses the physical asset drift rather than the risk-free rate.
physical_default_probability
physical_default_probability(self) -> numpy.ndarray
Return the physical probability of default by maturity.
risk_neutral_default_probability
risk_neutral_default_probability(self) -> numpy.ndarray
Return the risk-neutral probability of default by maturity.
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Do not edit this file manually.