Merton Structural Credit Model (Matrixwise Solver)

Removed fsolve dependency (Optim Toolbox) for efficiency increase (even in scalar inputs case)

Full Code re-factorization to facilitate matrixwise calculation of bivariate ranges of {E_t,sig_E,K,T} values using 3d Newton Jacobian solution.

Added the Black-Scholes Parameter Anonymous Function Handle as an Output to allow for further analysis (sensitivity, greeks etc)

d = @(z,A_t,sig_A,T,t,K,r)((1/(sig_A*sqrt(T-t)))*(log(A_t/K) + (r + (z)*0.5*sig_A^2)*(T-t)));

z = +1/-1

Minor code refactoring, code returns the Black-Scholes Parameter to allow for further sensitivity analysis & calculation of greeks

d = @(z,A_t,sig_A,T,t,K,r)
z=+1/-1 for Call/Put

Added Expected-Recovery calclulation

[A_t,sig_A,D_t,s,p,R] = calcMertonModel(E_t,sig_E,K,t,T,r);