merton firm

financepy.models.merton_firm

Class

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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