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

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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 <thierry.moudiki@gmail.com>
License
GPL-2 | GPL-3
Version
0.1

View on CRAN

Man pages

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.

Files in this package

ESGtoolkit
ESGtoolkit/inst
ESGtoolkit/inst/doc
ESGtoolkit/inst/doc/ESG2toolkit_Intro_062014.R
ESGtoolkit/inst/doc/ESG2toolkit_Intro_062014.pdf
ESGtoolkit/inst/doc/ESG2toolkit_Intro_062014.Rnw
ESGtoolkit/src
ESGtoolkit/src/esg2.cpp
ESGtoolkit/src/RcppExports.cpp
ESGtoolkit/NAMESPACE
ESGtoolkit/R
ESGtoolkit/R/code.R
ESGtoolkit/R/RcppExports.R
ESGtoolkit/vignettes
ESGtoolkit/vignettes/mabiblio.bib
ESGtoolkit/vignettes/ESG2toolkit_Intro_062014.Rnw
ESGtoolkit/MD5
ESGtoolkit/build
ESGtoolkit/build/vignette.rds
ESGtoolkit/DESCRIPTION
ESGtoolkit/man
ESGtoolkit/man/esgmartingaletest.Rd
ESGtoolkit/man/esgcortest.Rd
ESGtoolkit/man/ESGtoolkit-package.Rd
ESGtoolkit/man/esgplotbands.Rd
ESGtoolkit/man/esgfwdrates.Rd
ESGtoolkit/man/esgplotts.Rd
ESGtoolkit/man/esgplotshocks.Rd
ESGtoolkit/man/esgmccv.Rd
ESGtoolkit/man/esgdiscountfactor.Rd
ESGtoolkit/man/esgmcprices.Rd
ESGtoolkit/man/simdiff.Rd
ESGtoolkit/man/simshocks.Rd