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

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++.


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Reference manual

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install.packages("ESGtoolkit")

0.1 by Thierry Moudiki, 3 years ago


Browse source code at https://github.com/cran/ESGtoolkit


Authors: Jean-Charles Croix, Thierry Moudiki, Frederic Planchet, Wassim Youssef


Documentation:   PDF Manual  


GPL-2 | GPL-3 license


Imports Rcpp

Depends on CDVine, ggplot2, gridExtra, reshape2, ycinterextra

Suggests knitr, fOptions

Linking to Rcpp


See at CRAN