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
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Package details |
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| Author | Arnaud Buzzi |
| Maintainer | Arnaud Buzzi <arnaud.buzzi@sia-partners.com> |
| License | GPL (>2) |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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