ESGtoolkit: Toolkit for the simulation of financial assets and interest rates models.

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++.

Package details

AuthorJean-Charles Croix, Thierry Moudiki, Frederic Planchet, Wassim Youssef
MaintainerThierry Moudiki <[email protected]>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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ESGtoolkit documentation built on May 2, 2019, 5:15 a.m.