ArnaudBu/esg2: Esg Based on a G2++ Model

Implementation of an esg based on a G2++ model for alimenting ALM modelling. Includes rates modelling and any Black & Scholes related asset. A thorough description of the model can be found in D. Brigo, F. Mercurio (2006) <doi:10.1007/978-3-540-34604-3>.

Getting started

Package details

AuthorArnaud Buzzi
MaintainerArnaud Buzzi <>
LicenseGPL (>2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ArnaudBu/esg2 documentation built on May 17, 2019, 10:10 p.m.