wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation

To be adapted FEMS is a package for the financial modelling and simulation of corporates and financial institutions. It pursues a bottom-up modeling approach where the fundamental building blocks are provided in form of "contracts". These contracts support the modeling of investments, operational cash flows and various types of financial contracts. For the modeling of financial contract it uses the ACTUS (Algorithmic Contract Types Unified Standards) algorithmic models, which compute the future payoffs generated by financial contracts. This is done on a server that is accessed by the FEMS package. For more information visit \url{www.actusfrf.org}. This package provides an R-interface to the ACTUS server using a restless API. They are linked to a market enviroment in form of risk factors, in particular interest rates, stock and commodity indices and foreign exchange rates. For the analysis, an hierarchial structure can be defined and various methods for valuation as well as the calculation of liquidity, income and risk measures are provided. There is also the possibility to carry out Monte Carlo simulations and scenario analysis.

Getting started

Package details

AuthorChristoph Auth <christoph.auth@zhaw.ch>, Wolfgang Breymann <wolfgang.breymann@zhaw.ch>, Nils Bund <nils.bundi@gmail.com>
MaintainerChristoph Auth <christoph.auth@zhaw.ch>
LicenseGPL ( >=2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
wbreymann/FEMS documentation built on Dec. 8, 2022, 9:43 a.m.