esgmcprices: Estimation of discounted asset prices

In Techtonique/ESGtoolkit: Toolkit for Monte Carlo Simulations

Estimation of discounted asset prices

Description

Calculates the discounted asset prices using simulated interest rates and asset values.

Usage

esgmcprices(r, X, maturity = NULL)

Arguments

r	Interest rate time series or constant value
X	Asset price time series or constant value
maturity	Optional maturity date for the calculation

Details

The function takes interest rates and asset prices as inputs and calculates the discounted asset prices. It handles both time series and constant values for both inputs.

If a maturity date is specified, the function returns the discounted price at that maturity. Otherwise, it returns the time series of discounted prices averaged across all scenarios.

Value

A time series object containing the discounted asset prices, or a single value if a maturity date is specified

Examples

# Using constant values
r <- 0.05
X <- 100
price <- esgmcprices(r, X)

# Using time series
r_ts <- ts(matrix(rnorm(100), 10, 10), start = 0, deltat = 0.1)
X_ts <- ts(matrix(rnorm(100), 10, 10), start = 0, deltat = 0.1)
prices_ts <- esgmcprices(r_ts, X_ts)

# With maturity
price_at_maturity <- esgmcprices(r_ts, X_ts, maturity = 1)

Techtonique/ESGtoolkit documentation built on June 11, 2025, 6:24 p.m.