Package: ESG 1.3

ESG: A Package for Asset Projection

Presents a "Scenarios" class containing general parameters, risk parameters and projection results. Risk parameters are gathered together into a ParamsScenarios sub-object. The general process for using this package is to set all needed parameters in a Scenarios object, use the customPathsGeneration method to proceed to the projection, then use xxx_PriceDistribution() methods to get asset prices.

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

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ESG.pdf |ESG.html✨
ESG/json (API)

# Install 'ESG' in R:
install.packages('ESG', repos = c('https://etendard7.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • ZC - ZC data

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.40 score 25 scripts 315 downloads 12 mentions 42 exports 0 dependencies

Last updated 1 years agofrom:8bd871cb5c. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 31 2024
R-4.5-winOKOct 31 2024
R-4.5-linuxOKOct 31 2024
R-4.4-winOKOct 31 2024
R-4.4-macOKOct 31 2024
R-4.3-winOKOct 31 2024
R-4.3-macOKOct 31 2024

Exports:Asset_PriceDistributionBond_PriceDistributionCBond_PriceDistributionCDSPremium_PriceDistributionConvBond_PriceDistributioncustomPathsGenerationEuroCall_Stock_PriceDistributionEuroCall_ZC_PriceDistributionEuroPut_Stock_PriceDistributionEuroPut_ZC_PriceDistributiongetdefaultSpreadPathsgetForwardRatesgetLiquiditySpreadPathsgetParamsBaseScenariosgetrealEstatePathsgetRiskParamsScenariosgetRiskParamsScenariosdefSprgetRiskParamsScenariosliqSprgetRiskParamsScenariosREgetRiskParamsScenariosrtgetRiskParamsScenariosSgetShortRatePathsgetstockPathsgetZCRatesMartingaleTestrAllRisksFactorsrAssetDistributionrDefaultSpreadrLiquiditySpreadrRealEstaterShortRaterStocksetForwardRatessetParamsBaseScenariossetRiskParamsScenariossetRiskParamsScenariosdefSprsetRiskParamsScenariosliqSprsetRiskParamsScenariosREsetRiskParamsScenariosrtsetRiskParamsScenariosSsetZCRatesZCBond_PriceDistribution

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
ESG - Economic Scenario GeneratorESG-package ESG
Asset_PriceDistribution methodAsset_PriceDistribution Asset_PriceDistribution,Scenarios-method
Bond_PriceDistribution methodBond_PriceDistribution Bond_PriceDistribution,Scenarios-method
CBond_PriceDistribution methodCBond_PriceDistribution CBond_PriceDistribution,Scenarios-method
CDSPremium_PriceDistributionCDSPremium_PriceDistribution CDSPremium_PriceDistribution,Scenarios-method
ConvBond_PriceDistribution methodConvBond_PriceDistribution ConvBond_PriceDistribution,Scenarios-method
customPathsGeneration methodcustomPathsGeneration customPathsGeneration,Scenarios-method
EuroCall_Stock_PriceDistribution methodEuroCall_Stock_PriceDistribution EuroCall_Stock_PriceDistribution,Scenarios-method
EuroCall_ZC_PriceDistribution methodEuroCall_ZC_PriceDistribution EuroCall_ZC_PriceDistribution,Scenarios-method
EuroPut_Stock_PriceDistribution methodEuroPut_Stock_PriceDistribution EuroPut_Stock_PriceDistribution,Scenarios-method
EuroPut_ZC_PriceDistribution methodEuroPut_ZC_PriceDistribution EuroPut_ZC_PriceDistribution,Scenarios-method
getdefaultSpreadPaths methodgetdefaultSpreadPaths getdefaultSpreadPaths,Scenarios-method
getForwardRates methodgetForwardRates getForwardRates,Scenarios-method
getLiquiditySpreadPaths methodgetLiquiditySpreadPaths getLiquiditySpreadPaths,Scenarios-method
getParamsBaseScenarios methodgetParamsBaseScenarios getParamsBaseScenarios,Scenarios-method
getrealEstatePaths methodgetrealEstatePaths getrealEstatePaths,Scenarios-method
getRiskParamsScenarios methodgetRiskParamsScenarios getRiskParamsScenarios,Scenarios-method
getRiskParamsScenariosdefSpr methodgetRiskParamsScenariosdefSpr getRiskParamsScenariosdefSpr,Scenarios-method
getRiskParamsScenariosliqSpr methodgetRiskParamsScenariosliqSpr getRiskParamsScenariosliqSpr,Scenarios-method
getRiskParamsScenariosRE methodgetRiskParamsScenariosRE getRiskParamsScenariosRE,Scenarios-method
getRiskParamsScenariosrt methodgetRiskParamsScenariosrt getRiskParamsScenariosrt,Scenarios-method
getRiskParamsScenariosS methodgetRiskParamsScenariosS getRiskParamsScenariosS,Scenarios-method
getShortRatePaths methodgetShortRatePaths getShortRatePaths,Scenarios-method
getstockPaths methodgetstockPaths getstockPaths,Scenarios-method
getZCRates methodgetZCRates getZCRates,Scenarios-method
MartingaleTest methodMartingaleTest MartingaleTest,Scenarios-method
ParamsScenarios classParamsScenarios ParamsScenarios-class
rAllRisksFactorsrAllRisksFactors
rAssetDistributionrAssetDistribution
rDefaultSpreadrDefaultSpread
rLiquiditySpreadrLiquiditySpread
rRealEstaterRealEstate
rShortRaterShortRate
rStockrStock
Scenarios classScenarios Scenarios-class
setForwardRates methodsetForwardRates setForwardRates,Scenarios-method
setParamsBaseScenarios methodsetParamsBaseScenarios setParamsBaseScenarios,Scenarios-method
setRiskParamsScenarios methodsetRiskParamsScenarios setRiskParamsScenarios,Scenarios-method
setRiskParamsScenariosdefSpr methodsetRiskParamsScenariosdefSpr setRiskParamsScenariosdefSpr,Scenarios-method
setRiskParamsScenariosliqSpr methodsetRiskParamsScenariosliqSpr setRiskParamsScenariosliqSpr,Scenarios-method
setRiskParamsScenariosRE methodsetRiskParamsScenariosRE setRiskParamsScenariosRE,Scenarios-method
setRiskParamsScenariosrt methodsetRiskParamsScenariosrt setRiskParamsScenariosrt,Scenarios-method
setRiskParamsScenariosS methodsetRiskParamsScenariosS setRiskParamsScenariosS,Scenarios-method
setZCRates methodsetZCRates setZCRates,Scenarios-method
ZC dataZC
ZCBond_PriceDistribution methodZCBond_PriceDistribution ZCBond_PriceDistribution,Scenarios-method