Merton Firm Mkt
financepy.models.merton_firm_mkt
Classes
MertonFirmMkt
MertonFirmMkt(equity_value: float | numpy.ndarray, bond_face: float | numpy.ndarray, years_to_maturity: float | numpy.ndarray, risk_free_rate: float | numpy.ndarray, asset_growth_rate: float | numpy.ndarray, equity_volatility: float | numpy.ndarray) -> None
Inherits from: MertonFirm
Market implementation of the Merton firm-value model.
The observable inputs are equity value and equity volatility. The firm's
asset value and asset volatility are inferred by solving the Merton equity
value and equity volatility equations simultaneously.
Parameters may be scalars or NumPy arrays. NumPy broadcasting rules are
applied across inputs.
Methods
market_equity_value
market_equity_value(self) -> numpy.ndarray
Return the observed market equity value.
market_equity_volatility
market_equity_volatility(self) -> numpy.ndarray
Return the observed market equity volatility.
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