Announcing ESGtoolkit v0.1

June 14, 2014
By

(This article was first published on Thierry Moudiki's blog » R, and kindly contributed to R-bloggers)

I’m pleased to announce the release on CRAN repositories, of our new R package : ESGtoolkit.

It’s a set of tools for Monte Carlo simulation of various models, involved in the construction of an Economic Scenario Generator (ESG),  such as : equilibrium and no-arbitrage short rates models, equity models such as Black-Scholes, Merton, Heston and Bates (also known as Heston-Merton or Stochastic Volatility Jump diffusion), etc. The core loops of the simulations are made in C++. 

 Image 

In addition, a highly flexible correlation or dependence structure can be added between the simulations of different risk factors, with the use of vine copulas.

This note (the package’s vignette) will give you more insight on the features of this new package.

Comments and suggestions (constructive ? :)) are appreciated and highly valued. 

.

 

To leave a comment for the author, please follow the link and comment on their blog: Thierry Moudiki's blog » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)