Merton Model API Reference

This page documents the API for the Merton Model function in Pypulate.

Merton model for default probability calculation.

merton_model(asset_value, debt_face_value, asset_volatility, risk_free_rate, time_to_maturity)

Calculate default probability using the Merton model.

Parameters:

Name	Type	Description	Default
asset_value	float	Market value of assets	required
debt_face_value	float	Face value of debt	required
asset_volatility	float	Volatility of assets (annualized)	required
risk_free_rate	float	Risk-free interest rate	required
time_to_maturity	float	Time to maturity in years	required

Returns:

Type	Description
dict	Default probability and distance to default