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|
|Date of publication||2014-06-13 06:17:14|
|Maintainer||Thierry Moudiki <email@example.com>|
|License||GPL-2 | GPL-3|
esgcortest: Correlation tests for the shocks
esgdiscountfactor: Stochastic discount factors or discounted values
esgfwdrates: Instantaneous forward rates
esgmartingaletest: Martingale and market consistency tests
esgmccv: Convergence of Monte Carlo prices
esgmcprices: Estimation of discounted asset prices
esgplotbands: Plot time series percentiles and confidence intervals
esgplotshocks: Visualize the dependence between 2 gaussian shocks
esgplotts: Plot time series objects
ESGtoolkit-package: Toolkit for financial assets and interest rates simulation.
simdiff: Simulation of diffusion processes.
simshocks: Underlying gaussian shocks for risk factors' simulation.