RiskQuantLib.Model.KMV package

Submodules

RiskQuantLib.Model.KMV.kmv module

class kmv(riskFreeRateNum, tenorNum, debtNum, equityNum, equitySigmaNum)

Bases: model

kmv(base) is a class to calculate KMV relative parameters, including Asset Volatility, Asset Value, Distance to Default.

You must specify risk free rate, tenor, debt value, equity value and equity volatility to initialize KMV object.

BSfunction(i)

A BS function used in KMV model.

calAssetAndAssetSigma()

Calculate asset value and volatility of asset value

calDistanceToDefault(shortTermDebtNum, longTermDebtNum, mixedRatioNum=0.5)

Calculate distance to default given short term debt and long term debt and mixed ratio.

Module contents