MertonModel

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Contents
  1. Interface
  2. Overview
  3. Members

Merton Model Calculation

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Finance

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Interface

#include <codecogs/finance/mertonmodel.h>

using namespace Finance;

Overview

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

References

  • This Merton calculation code is based on the Black-Scholes code by Espen Haug. See http://www.espenhaug.com/black_scholes.html
GPL Licence — free for non commercial use. See Licence details.

FUNCTION

CND

Author

Cho, Seung Mo (October 2011)

References

  • This CDF calculation code is by Espen Haug. See http://www.espenhaug.com/black_scholes.html

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