python做估值模型_关于在Python用KMV模型估计资产价值及其波动

import scipy as sp

import pandas as pd

import scipy.stats as stats

from scipy import log,sqrt,exp

# input area

D=30.            # debt

E=70.            # equity

T=1.             # maturity

r=0.07           # risk-free

sigmaE=0.4       # volatility of equity

#

# define a function to siplify notations later

def N(x):

return stats.norm.cdf(x)

#

def KMV_f(E,D,T,r,sigmaE):

n=10000

m=2000

diffOld=1e6     # a very big number

for i in sp.arange(1,10):

for j in sp.arange(1,m):

A=E+D/2+i*D/n

sigmaA=0.05+j*(1.0-0.001)/m

d1 = (log(A/D)+(r+sigmaA*sigmaA/2.)*T)/(sigmaA*sqrt(T))

d2 = d1-sigmaA*sqrt(T)

diff4A= (A*N(d1)-D*exp(-r*T)*N(d2)-E)/A  # scale by assets

diff4sigmaE= A/E*N(d1)*sigmaA-sigmaE     # a small number already

diffNew=abs(diff4A)+abs(diff4sigmaE)

if diffNew

diffOld=diffNew

output=(round(A,2),round(sigmaA,4),round(diffNew,5))

return output

#

print("KMV=", KMV_f(D,E,T,r,sigmaE))

print("KMV=", KMV_f(D=65e3,E=110e3,T=1,r=0.01,sigmaE=0.2))

对于此代码中对A和sigmaA的定义实在不怎么理解，求助各位了