ESG: ESG - A package for asset projection

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.

AuthorJean-Charles Croix, Thierry Moudiki, Frdric Planchet, Wassim Youssef
Date of publication2013-01-14 10:53:20
MaintainerWassim Youssef <Wassim.G.Youssef@gmail.com>
LicenseGPL (>= 2)
Version0.1

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

Functions

A Man page
Alpha Man page
Asset_PriceDistribution Man page
Asset_PriceDistribution,Scenarios-method Man page
B Man page
Beta Man page
Bond_PriceDistribution Man page
Bond_PriceDistribution,Scenarios-method Man page
C Man page
CBond_PriceDistribution Man page
CBond_PriceDistribution,Scenarios-method Man page
CDSPremium_PriceDistribution Man page
CDSPremium_PriceDistribution,Scenarios-method Man page
ConvBond_PriceDistribution Man page
ConvBond_PriceDistribution,Scenarios-method Man page
CouponTimeValue Man page
customPathsGeneration Man page
customPathsGeneration,Scenarios-method Man page
ESG Man page
ESG-package Man page
EuroCall_Stock_PriceDistribution Man page
EuroCall_Stock_PriceDistribution,Scenarios-method Man page
EuroCall_ZC_PriceDistribution Man page
EuroCall_ZC_PriceDistribution,Scenarios-method Man page
EuroPut_Stock_PriceDistribution Man page
EuroPut_Stock_PriceDistribution,Scenarios-method Man page
EuroPut_ZC_PriceDistribution Man page
EuroPut_ZC_PriceDistribution,Scenarios-method Man page
ForwardExtraction Man page
G Man page
getdefaultSpreadPaths Man page
getdefaultSpreadPaths,Scenarios-method Man page
getForwardRates Man page
getForwardRates,Scenarios-method Man page
getLiquiditySpreadPaths Man page
getLiquiditySpreadPaths,Scenarios-method Man page
getParamsBaseScenarios Man page
getParamsBaseScenarios,Scenarios-method Man page
getrealEstatePaths Man page
getrealEstatePaths,Scenarios-method Man page
getRiskParamsScenarios Man page
getRiskParamsScenariosdefSpr Man page
getRiskParamsScenariosdefSpr,Scenarios-method Man page
getRiskParamsScenariosliqSpr Man page
getRiskParamsScenariosliqSpr,Scenarios-method Man page
getRiskParamsScenariosRE Man page
getRiskParamsScenariosRE,Scenarios-method Man page
getRiskParamsScenariosrt Man page
getRiskParamsScenariosrt,Scenarios-method Man page
getRiskParamsScenariosS Man page
getRiskParamsScenarios,Scenarios-method Man page
getRiskParamsScenariosS,Scenarios-method Man page
getShortRatePaths Man page
getShortRatePaths,Scenarios-method Man page
getstockPaths Man page
getstockPaths,Scenarios-method Man page
getZCRates Man page
getZCRates,Scenarios-method Man page
H Man page
K Man page
L Man page
MartingaleTest Man page
MartingaleTest,Scenarios-method Man page
ParamsScenarios Man page
ParamsScenarios-class Man page
rAllRisksFactors Man page
rAssetDistribution Man page
rDefaultSpread Man page
rLiquiditySpread Man page
rRealEstate Man page
rShortRate Man page
rStock Man page
Scenarios Man page
Scenarios-class Man page
setForwardRates Man page
setForwardRates,Scenarios-method Man page
setParamsBaseScenarios Man page
setParamsBaseScenarios,Scenarios-method Man page
setRiskParamsScenarios Man page
setRiskParamsScenariosdefSpr Man page
setRiskParamsScenariosdefSpr,Scenarios-method Man page
setRiskParamsScenariosliqSpr Man page
setRiskParamsScenariosliqSpr,Scenarios-method Man page
setRiskParamsScenariosRE Man page
setRiskParamsScenariosRE,Scenarios-method Man page
setRiskParamsScenariosrt Man page
setRiskParamsScenariosrt,Scenarios-method Man page
setRiskParamsScenariosS Man page
setRiskParamsScenarios,Scenarios-method Man page
setRiskParamsScenariosS,Scenarios-method Man page
setZCRates Man page
setZCRates,Scenarios-method Man page
Tau Man page
ZC Man page
ZCBond_PriceDistribution Man page
ZCBond_PriceDistribution,Scenarios-method Man page
ZCExtraction Man page

Files

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

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