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++.
It appears you don't have a PDF plugin for this browser. You can
click here to download the reference manual.
Thierry Moudiki, 4 years ago
Browse source code at
Jean-Charles Croix, Thierry Moudiki, Frederic Planchet, Wassim Youssef
GPL-2 | GPL-3
Depends on CDVine, ggplot2, gridExtra, reshape2, ycinterextra
Suggests knitr, fOptions
Linking to Rcpp
See at CRAN