Python package to calculate Probability of Default using FRED data.
Project description
pd_fred
A Python package for calculating the Probability of Default (PD) using FRED data.
Installation
pip install pd_fred
Usage
from pd_fred import DataFetcher, PDefaultCalculator
# Fetch data
fetcher = DataFetcher(api_key='your_fred_api_key')
data = fetcher.get_data('DGS10')
# Calculate PD using the Merton model
pd_value = PDefaultCalculator.calculate_merton_model(
asset_value=100, debt_value=80, asset_volatility=0.2, risk_free_rate=0.01, time_horizon=1
)
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