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ESG (version 1.2)

A Package for Asset Projection

Description

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.

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Version

Install

install.packages('ESG')

Monthly Downloads

305

Version

1.2

License

GPL (>= 2)

Maintainer

Wassim Youssef

Last Published

November 29th, 2020

Functions in ESG (1.2)

ConvBond_PriceDistribution

ConvBond_PriceDistribution method
EuroPut_ZC_PriceDistribution

EuroPut_ZC_PriceDistribution method
EuroPut_Stock_PriceDistribution

EuroPut_Stock_PriceDistribution method
customPathsGeneration

customPathsGeneration method
ZCBond_PriceDistribution

ZCBond_PriceDistribution method
getRiskParamsScenariosS

getRiskParamsScenariosS method
getRiskParamsScenariosdefSpr

getRiskParamsScenariosdefSpr method
getstockPaths

getstockPaths method
rAllRisksFactors

rAllRisksFactors
esg-internal

Internal esg functions
setForwardRates

setForwardRates method
setRiskParamsScenariosrt

setRiskParamsScenariosrt method
getForwardRates

getForwardRates method
setParamsBaseScenarios

setParamsBaseScenarios method
setRiskParamsScenariosliqSpr

setRiskParamsScenariosliqSpr method
Bond_PriceDistribution

Bond_PriceDistribution method
Asset_PriceDistribution

Asset_PriceDistribution method
Scenarios

Scenarios class
ZC

ZC data
getShortRatePaths

getShortRatePaths method
getZCRates

getZCRates method
rLiquiditySpread

rLiquiditySpread
setZCRates

setZCRates method
rRealEstate

rRealEstate
getLiquiditySpreadPaths

getLiquiditySpreadPaths method
rShortRate

rShortRate
getParamsBaseScenarios

getParamsBaseScenarios method
getRiskParamsScenariosRE

getRiskParamsScenariosRE method
getRiskParamsScenarios

getRiskParamsScenarios method
rStock

rStock
EuroCall_ZC_PriceDistribution

EuroCall_ZC_PriceDistribution method
EuroCall_Stock_PriceDistribution

EuroCall_Stock_PriceDistribution method
getRiskParamsScenariosliqSpr

getRiskParamsScenariosliqSpr method
CBond_PriceDistribution

CBond_PriceDistribution method
ParamsScenarios

ParamsScenarios class
CDSPremium_PriceDistribution

CDSPremium_PriceDistribution
getRiskParamsScenariosrt

getRiskParamsScenariosrt method
rDefaultSpread

rDefaultSpread
MartingaleTest

MartingaleTest method
rAssetDistribution

rAssetDistribution
setRiskParamsScenariosS

setRiskParamsScenariosS method
getdefaultSpreadPaths

getdefaultSpreadPaths method
setRiskParamsScenarios

setRiskParamsScenarios method
getrealEstatePaths

getrealEstatePaths method
setRiskParamsScenariosRE

setRiskParamsScenariosRE method
setRiskParamsScenariosdefSpr

setRiskParamsScenariosdefSpr method
ESG-package

ESG - Economic Scenario Generator