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ESG (version 1.3)

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

396

Version

1.3

License

GPL (>= 2)

Maintainer

Wassim Youssef

Last Published

August 29th, 2023

Functions in ESG (1.3)

ZCBond_PriceDistribution

ZCBond_PriceDistribution method
customPathsGeneration

customPathsGeneration method
getRiskParamsScenariosrt

getRiskParamsScenariosrt method
rStock

rStock
setParamsBaseScenarios

setParamsBaseScenarios method
getRiskParamsScenariosdefSpr

getRiskParamsScenariosdefSpr method
getRiskParamsScenariosS

getRiskParamsScenariosS method
getRiskParamsScenariosliqSpr

getRiskParamsScenariosliqSpr method
setForwardRates

setForwardRates method
rShortRate

rShortRate
setRiskParamsScenariosS

setRiskParamsScenariosS method
getdefaultSpreadPaths

getdefaultSpreadPaths method
getRiskParamsScenarios

getRiskParamsScenarios method
setRiskParamsScenariosdefSpr

setRiskParamsScenariosdefSpr method
getZCRates

getZCRates method
rRealEstate

rRealEstate
rLiquiditySpread

rLiquiditySpread
getShortRatePaths

getShortRatePaths method
setZCRates

setZCRates method
setRiskParamsScenariosliqSpr

setRiskParamsScenariosliqSpr method
setRiskParamsScenariosrt

setRiskParamsScenariosrt method
rAllRisksFactors

rAllRisksFactors
getstockPaths

getstockPaths method
getRiskParamsScenariosRE

getRiskParamsScenariosRE method
rAssetDistribution

rAssetDistribution
setRiskParamsScenarios

setRiskParamsScenarios method
getrealEstatePaths

getrealEstatePaths method
rDefaultSpread

rDefaultSpread
setRiskParamsScenariosRE

setRiskParamsScenariosRE method
CBond_PriceDistribution

CBond_PriceDistribution method
EuroCall_Stock_PriceDistribution

EuroCall_Stock_PriceDistribution method
EuroPut_Stock_PriceDistribution

EuroPut_Stock_PriceDistribution method
ConvBond_PriceDistribution

ConvBond_PriceDistribution method
ESG-package

ESG - Economic Scenario Generator
Scenarios

Scenarios class
CDSPremium_PriceDistribution

CDSPremium_PriceDistribution
esg-internal

Internal esg functions
EuroCall_ZC_PriceDistribution

EuroCall_ZC_PriceDistribution method
getForwardRates

getForwardRates method
getLiquiditySpreadPaths

getLiquiditySpreadPaths method
Bond_PriceDistribution

Bond_PriceDistribution method
EuroPut_ZC_PriceDistribution

EuroPut_ZC_PriceDistribution method
Asset_PriceDistribution

Asset_PriceDistribution method
MartingaleTest

MartingaleTest method
ParamsScenarios

ParamsScenarios class
getParamsBaseScenarios

getParamsBaseScenarios method
ZC

ZC data