Merton model+matlab

[terance]

Hello!I'm having some troubles with implemening Merton model in matlab

here is my code of m-file
function y = mm(x,D,r,delta_t,S,sigma_s)
d1=(log(x(2)/D)+(r-0.5*x(1)*x(1)*delta_t))/(x(1)*sqrt(delta_t));
d2=d1-x(1)*sqrt(delta_t);
y=((sigma_s*S-normcdf(d1,0,1)*x(1)*x(2))^2+(S-x(2)*normcdf(d1,0,1)-D*exp(-r*delta_t)*normcdf(d2,0,1))^2);

I use the following command to run this function

x=fminsearch('mm(x,5000000,0.0071,2548,74513269760,0.000665992)',[10 0.0001])
(the basic idea to solve the system of 2 non-linear equations is to find the minimum of G^2(x,y)+F^2(x,y))

But, I receive only 10 and 0.0001 in answer, it is wrong answer (as captaine obviusly told me)))

In attachments there is file with non-linear equations

 

[Tsotne]

If this is not your defined code and it is not important to use your custom defined one, we can search for already made optimized model. I have seen many Merton models in C++/VBA not Matlab but there should exist some.

 

[terance]

If this is not your defined code and it is not important to use your custom defined one, we can search for already made optimized model. I have seen many Merton models in C++/VBA not Matlab but there should exist some.

I'll apreciate if you show me some Merton Model implementations' in VBA

 

[Tsotne]

I'll apreciate if you show me some Merton Model implementations' in VBA

I have one at home. Don't remember if is the one I have is in VB or C++ but I'm sure I have seen both. I'll notify you when I get home.

 

[terance]

Thank you very much!=)

 

[Tsotne]

@terance EDIT:
Credit Risk Modeling using Excel and VBA chapter 13 defines the exact VBA code for Merton model. I'll give you that particular pdf if I get it.

 

[terance]

@terance
Credit instruments pricing using VBA chapter 13 defines the exact VBA code for Merton model. I'll give you that particular pdf if I get it.

can you tell me the exact name of the book?it will useful for me, I think so.

 

[Tsotne]

http://www.amazon.com/Credit-Modeling-using-Excel-Finance/dp/0470031573

This should be it.

 

[terance]

http://www.amazon.com/Credit-Modeling-using-Excel-Finance/dp/0470031573

This should be it.

Yeeess!!that what I want!The exact Merton Model implementation

 

[Tsotne]

Good Luck.

 

[dogbe]

Hello,
I'm currently working on the CreditRisk+ framework ( base on the technical document "CreditRisk+ A Credit Risk Management Framework")
I have the VBA code of the Spreadsheet there at the end of the technical document (made by Tom Wilde).
But I have some difficulty to understand the code.
In attachments there is file with the code

Thank you in advance