merton 1.0.0__tar.gz

merton-1.0.0/.gitignore

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+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+dist/
+wheelhouse/
+develop-eggs/
+downloads/
+eggs/
+.eggs/
+parts/
+sdist/
+var/
+wheels/
+*.egg-info/
+*.egg
+MANIFEST
+src/merton/_version.py
+
+# Virtual environments
+.venv/
+venv/
+env/
+ENV/
+
+# uv
+.uv-cache/
+uv.lock.bak
+
+# Testing / coverage
+.coverage
+.coverage.*
+htmlcov/
+.cache/
+.pytest_cache/
+.tox/
+.nox/
+.hypothesis/
+coverage.xml
+*.cover
+.mypy_cache/
+.ruff_cache/
+.dmypy.json
+dmypy.json
+
+# IDE
+.idea/
+.vscode/
+*.swp
+*.swo
+.DS_Store
+
+# Jupyter
+.ipynb_checkpoints/
+*.ipynb_meta
+
+# Docs
+docs/_build/
+docs/api/_autoapi/
+docs/jupyter_execute/
+docs/.doctrees/
+
+# Numba cache
+__pycache__/
+*.nbi
+*.nbc
+
+# Benchmarks
+.benchmarks/
+benchmarks/results/
+
+# Local environment
+.env
+.env.local
+*.local
+
+# Local Claude project instructions (never tracked)
+CLAUDE.md
+
+# Excel artifacts
+*.xlsx.bak
+~$*.xlsx
+~$*.xlsm
+
+# Cache directories
+.merton-cache/
+
+# Profiling
+*.prof
+*.lprof

merton-1.0.0/CHANGELOG.md

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+# Changelog
+
+All notable changes to this project will be documented in this file.
+
+The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
+and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
+
+## [Unreleased]
+
+### Added (Phase 1.0 — Public launch)
+
+- **First stable release**: dev-status classifier bumped to
+  `5 - Production/Stable`; `merton.__all__` is the v1.0 API surface
+  governed by [SemVer](https://semver.org/) (see
+  `docs/contributing/api-stability.md`).
+- **Lazy submodule loading**: `backtest`, `portfolio`, `reports`, and
+  `batch_fit` are now resolved on first access via `__getattr__`. Cold
+  `import merton` drops from ~1.1 s to ~500 ms on a 2024 M-series
+  MacBook. `merton.calibration.covariance`, `merton.core.result`,
+  `merton.core.term_structure`, and `merton._backend._numpy` defer
+  scipy/pandas imports to first use.
+- **conda-forge recipe** (`recipe/meta.yaml`) ready for the
+  `conda-forge/staged-recipes` PR. Once merged, `conda install -c
+  conda-forge merton` will be live.
+- **Launch documentation**: `docs/blog/announcing-1.0.md` (release
+  announcement), `docs/contributing/migrating-to-1.0.md` (migration
+  guide for 0.x users).
+- **`tests/performance/test_import_time.py`** locks the cold-import
+  budget (`< 750 ms` on the dev workstation) so future PRs that
+  re-introduce eager heavy imports fail CI.
+
+### Added (Phase 0.9 — RC)
+
+- **API stability surface**: `docs/contributing/api-stability.md` is the
+  canonical reference for the v1.0 public API contract. Names in
+  `merton.__all__` are stable from 1.0; underscore-prefixed modules are
+  internal.
+- **Deprecation helper** (`merton._deprecation`): `deprecated`,
+  `deprecated_alias`, and `warn_deprecated` route renamed/retired public
+  names through a `DeprecationWarning` with the removal target stamped in.
+- **Security CI** (`.github/workflows/security.yml`): weekly `bandit`,
+  `pip-audit`, and OSV scanner runs on `main`; also runs on PRs that
+  touch dependencies or the security config.
+- **Public-API surface tests** (`tests/unit/test_public_api.py`): every
+  name in `merton.__all__` resolves; `__all__` is sorted and excludes
+  private names; the package version is PEP 440.
+- **Slow-test gating**: long MCMC tests are tagged `@pytest.mark.slow`
+  and deselected from the default `pytest` invocation; full suite now
+  runs in ~15 s. Run the slow tier with `pytest -m slow`.
+
+### Changed (Phase 0.9 — RC)
+
+- `merton.__init__.__getattr__` no longer advertises `io`, `diagnostics`,
+  or `viz` — those namespaces are roadmapped for 1.x and their helpers
+  currently live on `FirmPanel`, `MertonResult.summary`, and
+  `merton.reports`.
+- `merton.greeks.autodiff` enables `jax_enable_x64` at import so the
+  autodiff Greeks match the closed-form values to single-precision
+  tolerance; `equity_theta_ad` now follows the option-pricing convention
+  (returns `-∂E/∂T`).
+- Bandit suppressions added inline (`obs.py` teardown, `bootstrap.py`
+  resample exception path, `cli/commands/excel.py` subprocess launcher).
+
+### Added (Phase 0.8)
+
+- **OpenTelemetry observability** (`merton.obs`): opt-in OTel tracing
+  via `enable()` / `disable()` with `span()` context manager and
+  `traced()` decorator. Auto-enable through `MERTON_OBS=1`; endpoint
+  override via `MERTON_OTLP_ENDPOINT`; optional console mirror via
+  `MERTON_OBS_CONSOLE=1`. Pulls in `opentelemetry-{api,sdk,exporter-otlp}`
+  via the new `[obs]` extra.
+- **Scenarios package** (`merton.scenarios`):
+  - `Scenario` ABC + `CompositeScenario` (chain with `|`) +
+    `ScenarioResult` audit record.
+  - Atomic shocks `equity_shock`, `vol_shock`, `rate_shock`, `debt_shock`
+    for ad-hoc stress.
+  - `ClimateScenario` with carbon-price path + sectoral PD multipliers,
+    pass-through, and chronic physical-risk parameters. `Sector` enum
+    with default emission-intensity table; `carbon_price_curve`
+    piecewise-linear helper; `carbon_price_to_writedown` standalone.
+- **NGFS Phase V (2024) scenarios**
+  (`merton.scenarios.predefined.ngfs`): `net_zero_2050`,
+  `delayed_transition`, `current_policies`, `fragmented_world`.
+- **ClimateOverlay structural model** (`merton.extensions.climate`):
+  wraps any `StructuralModel` / `MertonModel` with a `ClimateScenario`
+  + sector tag; writes down equity before calibration and scales PD by
+  the sectoral multiplier.
+- **Docs**: `docs/theory/scenarios.md` (general framework overview),
+  `docs/theory/extensions/climate.md`,
+  `docs/tutorials/02_climate_scenarios.md`,
+  `docs/cookbook/observability.md`, `docs/cookbook/spark-dask.md`.
+  Phase 0.8 features (`Scenario` framework, NGFS climate stress,
+  OpenTelemetry) are now called out in the README Highlights block.
+
+### Added (Phase 0.7)
+
+- **CreditGrades model** (`merton.extensions.creditgrades`):
+  Finger-Finkelstein-Pan-Lardy-Ta-Tierney 2002 closed-form survival /
+  PD / implied CDS spread plus `CreditGradesModel.fit`. Random
+  default-barrier widens short-horizon credit spreads vs Merton.
+- **Leland-Toft endogenous-default model**
+  (`merton.extensions.leland_toft`): optimal default boundary
+  ``V_B^*``, PD, equity / debt values, and `LelandToftModel` calibrator
+  on coupon-paying perpetual debt with taxes and bankruptcy costs.
+- **Zhou / Merton jump-diffusion**
+  (`merton.extensions.jump_diffusion`): Poisson-weighted series PD,
+  Monte Carlo path simulator (`simulate_jump_diffusion`), and
+  `JumpDiffusionModel` that calibrates ``(A, σ_A)`` via JMR and adds
+  the jump contribution.
+- **Longstaff-Schwartz two-factor model**
+  (`merton.extensions.longstaff_schwartz`): Vasicek short-rate
+  dynamics + asset GBM with correlation; closed-form PD at
+  ``ρ = 0`` and vectorised Monte Carlo first-passage estimator
+  otherwise.
+- **Bayesian MCMC calibrator**
+  (`merton.calibration.bayesian_mcmc`): `bayesian_mcmc` and
+  `BayesianMCMCCalibrator` wrap `emcee.EnsembleSampler` around the
+  Duan log-likelihood. Returns a `BayesianCalibrationResult` exposing
+  the full posterior chain, log-probabilities, autocorrelation time,
+  acceptance fraction, and percentile credible intervals.
+- **Theory docs**: `docs/theory/extensions/{creditgrades, leland-toft,
+  jump-diffusion, longstaff-schwartz}.md` and
+  `docs/theory/bayesian-mcmc.md`.
+
+### Added (Phase 0.6)
+
+- **Excel integration via xlwings Server (FastAPI)**:
+  - `merton.excel.functions` — pure-Python wrappers for every formula:
+    `merton_dd`, `merton_pd`, `merton_spread`, `merton_asset_value`,
+    `merton_asset_vol`, `merton_greeks`, `merton_pd_term`,
+    `merton_backtest`, `merton_portfolio_var`, `merton_black_cox`.
+  - `merton.excel.server` — FastAPI app exposing ``/healthz``,
+    ``/functions.json``, ``/static/functions.{js,html}``,
+    ``/taskpane.html``, and ``/call``. Lazy FastAPI import.
+  - `merton.excel.manifest` — Office.js manifest XML generator with
+    deterministic add-in UUID per base URL.
+  - `merton.excel.installer` — write / remove the manifest in the OS's
+    Excel sideload directory (macOS / Windows / Linux fallback).
+- **Classic xlwings UDF fallback** (`merton.excel.udf`): registers
+  every formula via the legacy `@xw.func` decorator for Windows
+  desktop where running a local HTTP server isn't convenient.
+- **CLI commands** (`merton excel ...`):
+  - `install --url <BASE_URL>` writes the manifest.
+  - `uninstall` removes the manifest.
+  - `status` reports manifest + server PID.
+  - `server start [--host --port --reload --background]` runs uvicorn.
+  - `server stop` graceful SIGTERM via a PID file under
+    `platformdirs.user_runtime_dir`.
+  - `sample-workbook --out=<PATH>` writes a worked-example workbook.
+- **Sample workbook** (`merton.excel.sample.write_sample_workbook`):
+  programmatic openpyxl file with *Read me*, *Single firm*, *Portfolio*,
+  *Backtest*, and *Function reference* sheets.
+- **`python -m merton`** entrypoint via `src/merton/__main__.py`.
+- **Docs**: `docs/excel/{installation, functions, sample-workbook}.md`,
+  cookbook `excel-dashboard.md` with a full live-dashboard recipe.
+
+### Added (Phase 0.5)
+
+- **CuPy backend** (`merton._backend._cupy`): NVIDIA-GPU implementations of
+  `d1_d2`, `equity_value`, `distance_to_default_kernel`,
+  `prob_of_default_kernel`. Lazy-imported under `merton[gpu]`. Backend
+  dispatch routes CuPy-array inputs to the GPU automatically.
+- **MLX backend** (`merton._backend._mlx`): Apple Silicon Metal kernels
+  via `mlx.core`. Normal CDF derived from `mx.erf`. Lazy-imported under
+  `merton[mlx]`. Unified-memory model means zero-copy from NumPy.
+- **AOT-warmed Numba cache**: `merton.warm_cache()` now exercises every
+  `@njit` kernel with representative inputs. `wheels.yml` runs this in
+  `CIBW_BEFORE_TEST` so the compiled `.nbi/.nbc` files ship inside the
+  wheel — users pay zero first-call JIT cost.
+- **100k-firm benchmark suite** (`tests/benchmarks/`): pytest-benchmark
+  coverage of single-firm fits, 1k/10k/100k panels, calibration on a
+  252-day series, portfolio Monte Carlo, and backtest metrics on
+  1 000 000 (PD, default) pairs. Excluded from the default `pytest`
+  run via `addopts = "--ignore=tests/benchmarks"`.
+- **Free-threaded CI**: dedicated `cp313t` job in `.github/workflows/test.yml`
+  that asserts `sys._is_gil_enabled() == False` and runs the full unit +
+  property + golden test suites under GIL-free Python.
+- **Performance docs**: `docs/performance/{benchmarks, backend-selection,
+  apple-silicon, free-threaded}.md` and `docs/cookbook/large-panels.md`.
+
+### Added (Phase 0.4)
+
+- **Extensions**:
+  - `merton.extensions.BlackCoxModel` and `black_cox_pd` — first-passage
+    barrier model with constant or exponentially-decaying barrier
+    (closed-form risk-neutral PD via the reflection principle).
+  - `merton.extensions.GeskeModel` and `geske_equity_value` /
+    `geske_pd` — 2-period compound-option pricing using the
+    bivariate-normal CDF.
+  - `merton.extensions.StructuralModel` / `StructuralResult` — shared
+    ABC + result dataclass for all non-vanilla structural models.
+- **Portfolio**:
+  - `merton.portfolio.Portfolio` — container plus Monte Carlo +
+    analytic-Vasicek engines. Accepts a list of `Firm` objects *or* a
+    pre-computed PD vector.
+  - `merton.portfolio.LossDistribution` — VaR, expected shortfall,
+    economic capital, per-firm contribution decomposition.
+  - `merton.portfolio.VasicekFactor` — Vasicek single-factor analytics.
+  - `merton.portfolio.basel_irb_correlation` + `basel_irb_capital` —
+    BCBS-prescribed asset correlation and IRB unexpected-loss capital
+    with the standard maturity adjustment.
+  - `merton.portfolio.copulas.GaussianCopula` and `TCopula` for
+    correlated-default sampling.
+  - `merton.portfolio.asset_correlation_from_equity` and
+    `granularity_adjustment` / `hhi` / `effective_n`.
+- **Backtest harness**:
+  - `merton.backtest.{auc, accuracy_ratio, brier, ks_statistic,
+    hosmer_lemeshow}` — implementations validated against sklearn's
+    equivalents (no sklearn dependency).
+  - `merton.backtest.ROCCurve` and `roc_curve`; `CalibrationCurve` and
+    `calibration_curve` / `calibration_plot`.
+  - `merton.backtest.rolling_window` — slide AUC/Brier/KS over a panel.
+  - `merton.backtest.Backtest` + `BacktestResult` orchestrator with
+    `add_metric`, `to_dict`, `summary`.
+- **Reports**:
+  - `merton.reports.render_backtest_report` — dependency-light
+    standalone HTML report with embedded ROC + calibration SVGs.
+- **Docs**: theory pages for Black-Cox, Geske, Vasicek, copulas, and
+  metrics; cookbook recipes for `yfinance` and Bloomberg ingestion.
+- **Testing**: extensive test coverage (336 tests, 90.87% coverage),
+  with the gate held at 90% via `fail_under` in `pyproject.toml`.
+
+### Added (Phase 0.3)
+
+- JAX-backed kernels (`merton._backend._jax`): `jit`-compiled `d1_d2`,
+  `equity_value`, `distance_to_default_kernel`, `prob_of_default_kernel`.
+  Lazy-imported; only loaded when JAX is installed.
+- Backend dispatch transparently routes JAX arrays to the JAX backend
+  (zero-copy stay on device).
+- JAX autodiff Greeks (`merton.greeks.autodiff`): `equity_delta_ad`,
+  `equity_gamma_ad`, `equity_vega_ad`, `equity_theta_ad`, `equity_rho_ad`,
+  `pd_leverage_sensitivity_ad`, `pd_vol_sensitivity_ad`,
+  `pd_rate_sensitivity_ad`. Each is `jit`-compiled and `vmap`-friendly.
+- `merton.FirmPanel` — Arrow-backed columnar container with constructors
+  for pandas / polars / Arrow / CSV / Parquet / dict, columnar accessors,
+  Firm-row iteration, boolean masks, and zero-copy slicing.
+- `merton.batch_fit(panel_or_df, *, method, n_jobs, dispatch, progress,
+  on_error, …)` — joblib-threaded panel calibration; returns the same
+  dataframe type you handed in (pandas / polars / Arrow).
+- `merton.batch.dispatch.parallel_map` — pluggable joblib / sequential /
+  dask / ray dispatcher.
+- `merton` CLI (typer): `merton --version`, `merton doctor` (Python build,
+  GIL status, installed backends, GPU/MLX/JAX devices, dependency
+  versions, suggested extras), `merton config show|set|reset`,
+  `merton fit <input>` for single-firm and panel calibration.
+- `MERTON_CONFIG_DIR` env var lets users / tests redirect the persisted
+  config file location.
+- Added `pyarrow>=15` and `tomli-w>=1.0` to core dependencies.
+- Cookbook: `docs/cookbook/panel-fitting.md`, `docs/cookbook/jax-acceleration.md`.
+
+### Added (Phase 0.2)
+
+- Duan (1994) transformed-data MLE calibrator (`merton.calibration.duan_mle`).
+- Survivorship-bias correction via closed-form first-passage probability
+  for geometric Brownian motion (`merton._backend._survival`).
+- KMV / Crosbie-Bohn iterative calibrator (`merton.calibration.kmv_iterative`)
+  with hookable empirical `edf_map`.
+- MLE asymptotic standard errors, Wald confidence intervals, and a generic
+  delta-method propagator (`merton.calibration.covariance`).
+- Block-bootstrap CIs for time-series calibrators
+  (`merton.calibration.block_bootstrap_calibration`); wired into
+  `MertonModel(n_bootstrap=…)`.
+- `MertonResult.confidence_interval(level, method)` lazy method (asymptotic
+  or bootstrap).
+- `MertonResult` now exposes `dd_series` / `pd_series` / `asset_value_series`
+  for time-series calibrations; the scalar `dd` / `pd` are the most-recent
+  observation.
+- Paper-replication test suite (`tests/golden/`) covering Bharath-Shumway
+  2008, Vassalou-Xing 2004, and a synthetic Duan MLE recovery test.
+- Executable AAPL-style tutorial (`docs/tutorials/01_single_firm_aapl.md`).
+
+### Added (Phase 0.1)
+
+- Initial release scaffolding (pyproject.toml, CI, docs skeleton).
+- Core single-firm Merton model: `Firm`, `MertonModel`, `MertonResult`.
+- Calibration methods: Vassalou-Xing iterative MLE, Jones-Mason-Rosenfeld
+  iterative, Bharath-Shumway naive.
+- Vectorized math primitives: `distance_to_default`, `prob_of_default`,
+  `implied_credit_spread`, `physical_pd`, `term_structure_pd`.
+- Closed-form equity Greeks: delta, gamma, vega, theta, rho.
+- PD sensitivities to leverage, asset volatility, and risk-free rate.
+- Default-point formulas: KMV (ST + 0.5·LT), total debt, short-only, custom.
+- NumPy backend (default) with backend-dispatch infrastructure ready for
+  Numba, CuPy, JAX, and MLX in subsequent phases.
+
+[Unreleased]: https://github.com/ItsSypher/merton/compare/HEAD...HEAD

merton-1.0.0/LICENSE

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