modelforge/- at master · Whatsonyourmind/modelforge · GitHub

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{
  "counterparty": "counterparty",
  "inputs": {
    "equity_value": 500.0,
    "equity_volatility": 0.3,
    "debt_face_value": 200.0,
    "risk_free_rate": 0.039,
    "horizon_years": 1.0,
    "lgd": 0.45,
    "eir": 0.05,
    "maturity": 5,
    "days_past_due": 0
  },
  "merton": {
    "asset_value": 692.3501418292733,
    "asset_volatility": 0.21665338235315695,
    "distance_to_default": 5.8033024396205555,
    "pd": 3.2510676928332316e-09,
    "converged": true,
    "iterations": 1
  },
  "kmv_pd": 0.00014917439009486114,
  "ecl": {
    "stage": "stage_1",
    "ecl_12_month_eur_m": 0.01278637629384524,
    "ecl_lifetime_eur_m": 0.058109739510426764,
    "ecl_eur_m": 0.01278637629384524,
    "implied_rate": 6.39318814692262e-05,
    "notes": [
      "Stage 1: performing; 12-month ECL reported"
    ]
  }
}