ibeval.py 文件源码

def blackcox_pd(equity, extasset, sigma):
    """Compute the probability of default for external assets following a 
    Geometric Brownian Motion and the Black and Cox model.

    Parameters:
        equity (float): equity
        extasset (float): external assets
        sigma (float): volatility of the Geometric Browninan Motion

    Returns:
        probability of default
    """
    if equity <= 0.0:
        return 1.0
    if equity >= extasset:
        return 0.0
    else:
        #return 1 + (- 1/2 * (1 + math.erf((-math.log(1 - equity/extasset) - sigma**2/2) / 
        #                                  (math.sqrt(2) * sigma)) )
        #            + (extasset/equity)/2 * (1 + math.erf((math.log(1 - equity/extasset) - sigma**2/2) / 
        #                                                  (math.sqrt(2) * sigma)) ) )
        return (1/2 * (1 + math.erf((math.log(1 - equity/extasset) + sigma**2/2) / 
                                    (math.sqrt(2) * sigma)) ) + 
                (extasset/(extasset - equity))/2 * (1 + math.erf((math.log(1 - equity/extasset) - sigma**2/2) / 
                                                                 (math.sqrt(2) * sigma)) ) )