ESG: ESG - A package for asset projection

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The package presents a "Scenarios" class containing general parameters, risk parameters and projection results. Risk parameters are gathered together into a ParamsScenarios sub-object. The general process for using this package is to set all needed parameters in a Scenarios object, use the customPathsGeneration method to proceed to the projection, then use xxx_PriceDistribution() methods to get asset prices.

Author
Jean-Charles Croix, Thierry Moudiki, Frdric Planchet, Wassim Youssef
Date of publication
2013-01-14 10:53:20
Maintainer
Wassim Youssef <Wassim.G.Youssef@gmail.com>
License
GPL (>= 2)
Version
0.1

View on CRAN

Man pages

Asset_PriceDistribution
Asset_PriceDistribution method
Bond_PriceDistribution
Bond_PriceDistribution method
CBond_PriceDistribution
CBond_PriceDistribution method
CDSPremium_PriceDistribution
CDSPremium_PriceDistribution
ConvBond_PriceDistribution
ConvBond_PriceDistribution method
customPathsGeneration
customPathsGeneration method
esg-internal
Internal esg functions
ESG-package
ESG - Economic Scenario Generator
EuroCall_Stock_PriceDistribution
EuroCall_Stock_PriceDistribution method
EuroCall_ZC_PriceDistribution
EuroCall_ZC_PriceDistribution method
EuroPut_Stock_PriceDistribution
EuroPut_Stock_PriceDistribution method
EuroPut_ZC_PriceDistribution
EuroPut_ZC_PriceDistribution method
getdefaultSpreadPaths
getdefaultSpreadPaths method
getForwardRates
getForwardRates method
getLiquiditySpreadPaths
getLiquiditySpreadPaths method
getParamsBaseScenarios
getParamsBaseScenarios method
getrealEstatePaths
getrealEstatePaths method
getRiskParamsScenarios
getRiskParamsScenarios method
getRiskParamsScenariosdefSpr
getRiskParamsScenariosdefSpr method
getRiskParamsScenariosliqSpr
getRiskParamsScenariosliqSpr method
getRiskParamsScenariosRE
getRiskParamsScenariosRE method
getRiskParamsScenariosrt
getRiskParamsScenariosrt method
getRiskParamsScenariosS
getRiskParamsScenariosS method
getShortRatePaths
getShortRatePaths method
getstockPaths
getstockPaths method
getZCRates
getZCRates method
MartingaleTest
MartingaleTest method
ParamsScenarios
ParamsScenarios class
rAllRisksFactors
rAllRisksFactors
rAssetDistribution
rAssetDistribution
rDefaultSpread
rDefaultSpread
rLiquiditySpread
rLiquiditySpread
rRealEstate
rRealEstate
rShortRate
rShortRate
rStock
rStock
Scenarios
Scenarios class
setForwardRates
setForwardRates method
setParamsBaseScenarios
setParamsBaseScenarios method
setRiskParamsScenarios
setRiskParamsScenarios method
setRiskParamsScenariosdefSpr
setRiskParamsScenariosdefSpr method
setRiskParamsScenariosliqSpr
setRiskParamsScenariosliqSpr method
setRiskParamsScenariosRE
setRiskParamsScenariosRE method
setRiskParamsScenariosrt
setRiskParamsScenariosrt method
setRiskParamsScenariosS
setRiskParamsScenariosS method
setZCRates
setZCRates method
ZC
ZC data
ZCBond_PriceDistribution
ZCBond_PriceDistribution method

Files in this package

ESG
ESG/MD5
ESG/R
ESG/R/Methods_PriceDistribution_CorporateBond.R
ESG/R/Methods_PriceDistribution_EuroCallPut_Stock.R
ESG/R/Methods_PriceDistribution_EuroCallPut_ZC.R
ESG/R/Methods_PriceDistribution_Bond.R
ESG/R/Methods_PathsGeneration.R
ESG/R/Methods_PriceDistribution_ZCBond.R
ESG/R/1-Object_ParamsScenarios.R
ESG/R/Methods_PriceDistribution_ConvBond.R
ESG/R/Methods_PriceDistribution_Assets.R
ESG/R/Methods_MartingaleTest.R
ESG/R/Interface.R
ESG/R/2-Object_Scenarios.R
ESG/R/internal.R
ESG/R/Methods_PriceDistribution_CDSPremium.R
ESG/data
ESG/data/ZC.rda
ESG/NAMESPACE
ESG/man
ESG/man/setRiskParamsScenariosS.Rd
ESG/man/setForwardRates.Rd
ESG/man/EuroPut_Stock_PriceDistribution.Rd
ESG/man/getRiskParamsScenarios.Rd
ESG/man/ZC.Rd
ESG/man/getLiquiditySpreadPaths.Rd
ESG/man/getRiskParamsScenariosS.Rd
ESG/man/rAssetDistribution.Rd
ESG/man/setRiskParamsScenariosRE.Rd
ESG/man/setRiskParamsScenariosrt.Rd
ESG/man/getParamsBaseScenarios.Rd
ESG/man/getZCRates.Rd
ESG/man/ConvBond_PriceDistribution.Rd
ESG/man/rLiquiditySpread.Rd
ESG/man/Bond_PriceDistribution.Rd
ESG/man/getrealEstatePaths.Rd
ESG/man/Scenarios.Rd
ESG/man/customPathsGeneration.Rd
ESG/man/ZCBond_PriceDistribution.Rd
ESG/man/esg-internal.Rd
ESG/man/EuroCall_ZC_PriceDistribution.Rd
ESG/man/rAllRisksFactors.Rd
ESG/man/ParamsScenarios.Rd
ESG/man/setParamsBaseScenarios.Rd
ESG/man/rRealEstate.Rd
ESG/man/getRiskParamsScenariosdefSpr.Rd
ESG/man/setRiskParamsScenarios.Rd
ESG/man/CDSPremium_PriceDistribution.Rd
ESG/man/Asset_PriceDistribution.Rd
ESG/man/setZCRates.Rd
ESG/man/rShortRate.Rd
ESG/man/ESG-package.Rd
ESG/man/setRiskParamsScenariosdefSpr.Rd
ESG/man/MartingaleTest.Rd
ESG/man/getdefaultSpreadPaths.Rd
ESG/man/getShortRatePaths.Rd
ESG/man/EuroCall_Stock_PriceDistribution.Rd
ESG/man/rStock.Rd
ESG/man/getRiskParamsScenariosrt.Rd
ESG/man/getRiskParamsScenariosliqSpr.Rd
ESG/man/CBond_PriceDistribution.Rd
ESG/man/getForwardRates.Rd
ESG/man/EuroPut_ZC_PriceDistribution.Rd
ESG/man/getRiskParamsScenariosRE.Rd
ESG/man/setRiskParamsScenariosliqSpr.Rd
ESG/man/rDefaultSpread.Rd
ESG/man/getstockPaths.Rd
ESG/DESCRIPTION
ESG/ESG-Ex.R