Finance ›
Merton Model
Merton Model Calculation
Controller: doctorchoseungmo 
Contents
Interface
C++
Merton
| doubleMerton( | double | V | |
| double | D | ||
| double | T | ||
| double | r | ||
| double | u | ||
| double | v | ||
| integer | n | ) |
Parameters
V Present Firm Value D Book Value of Liabilities T Years to Liabilities Maturity r Annual Interest Rate u Future Firm Value Growth Rate v Future Firm Value Volatility n Number of Stocks Outstanding
Returns
- Equity Value, Stock Value, Liabilities Value, Credit Spread, Default Probability
Authors
- Cho, Seung Mo (October 2011)
References
- This Merton calculation code is based on the Black-Scholes code by Espen Haug. See http://www.espenhaug.com/black_scholes.html
Source Code
This module is private, for owner's use only.
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CND
| doubleCND( | double | X | ) |
Authors
- Cho, Seung Mo (October 2011)
References
- This CDF calculation code is by Espen Haug. See http://www.espenhaug.com/black_scholes.html
Source Code
This module is private, for owner's use only.
Not a member, then Register with CodeCogs. Already a Member, then Login.