Toolkit for Monte Carlo simulations of financial assets and interest rates models, involved in an Economic Scenario Generator (ESG). The underlying simulation loops have been implemented in C++.
|Author||Jean-Charles Croix, Thierry Moudiki, Frederic Planchet, Wassim Youssef|
|Maintainer||Thierry Moudiki <[email protected]>|
|License||GPL-2 | GPL-3|
|Package repository||View on CRAN|
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