Package: esgtoolkit 1.10.2

T. Moudiki

esgtoolkit: Toolkit for Monte Carlo Simulations

A toolkit for Monte Carlo Simulations in Finance, Economics, Insurance, Physics. Multiple simulation models can be created by combining building blocks provided in the package.

Authors:T. Moudiki [aut, cre]

esgtoolkit_1.10.2.tar.gz
esgtoolkit_1.10.2.zip(r-4.7)esgtoolkit_1.10.2.zip(r-4.6)esgtoolkit_1.10.2.zip(r-4.5)
esgtoolkit_1.10.2.tgz(r-4.6-x86_64)esgtoolkit_1.10.2.tgz(r-4.6-arm64)esgtoolkit_1.10.2.tgz(r-4.5-x86_64)esgtoolkit_1.10.2.tgz(r-4.5-arm64)
esgtoolkit_1.10.2.tar.gz(r-4.7-arm64)esgtoolkit_1.10.2.tar.gz(r-4.7-x86_64)esgtoolkit_1.10.2.tar.gz(r-4.6-arm64)esgtoolkit_1.10.2.tar.gz(r-4.6-x86_64)
esgtoolkit_1.10.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
esgtoolkit/json (API)
NEWS

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

Bug tracker:https://github.com/techtonique/esgtoolkit/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

diffusion-modeldiffusion-modelsmonte-carlo-methodsmonte-carlo-simulationmontecarlo-simulationscenario-analysisscenario-creatorscenario-generationsimulationstochastic-differential-equationsstochastic-processesstochastic-simulationcpp

6.10 score 13 stars 39 scripts 24 exports 33 dependencies

Last updated from:08b2e8f3f1. Checks:11 WARNING, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64WARNING163
linux-devel-x86_64WARNING172
source / vignettesOK261
linux-release-arm64WARNING151
linux-release-x86_64WARNING169
macos-release-arm64WARNING170
macos-release-x86_64WARNING248
macos-oldrel-arm64WARNING99
macos-oldrel-x86_64WARNING197
windows-develWARNING175
windows-releaseWARNING127
windows-oldrelWARNING157
wasm-releaseOK152

Exports:calculatereturnsdebug_printesgcortestesgdiscountfactoresgfwdratesesgmartingaletestesgmccvesgmcpricesesgplotbandsesgplotshocksesgplottsforwardratesgenerate_diverse_sv_pathsgenerate_svjdgenerate_synthetic_returnsrg2plusrpriceg2plusrsvjdrsvjdg2plussimdiffsimshockssimulate_rvineycextraycinter

Dependencies:ADGofTestclicpp11data.tablefarverggplot2gluegridExtragtableisobandlabelinglatticelifecyclemagrittrMASSmvtnormplyrR6randtoolboxRColorBrewerRcppreshape2rlangrngWELLS7scalesstringistringrvctrsVineCopulaviridisLitewithrzoo

G2++

Rendered fromg2plus.Rmdusingknitr::rmarkdownon May 16 2026.

Last update: 2025-06-16
Started: 2024-04-11

Introduction

Rendered fromintro.Rmdusingknitr::rmarkdownon May 16 2026.

Last update: 2026-02-12
Started: 2025-05-29

Martingale tests

Rendered frommartingale_test.Rmdusingknitr::rmarkdownon May 16 2026.

Last update: 2025-02-03
Started: 2025-01-29

More flexibility for simulations

Rendered fromsimdiffts.Rmdusingknitr::rmarkdownon May 16 2026.

Last update: 2025-06-17
Started: 2025-06-16

Synthetic Copula simulation

Rendered fromsyntheticopula.Rmdusingknitr::rmarkdownon May 16 2026.

Last update: 2025-09-20
Started: 2025-09-20

Readme and manuals

Help Manual

Help pageTopics
Calculate variance term V(t,T) for G2++ modelcalculate_V
Calculate returns or log-returns for multivariate time seriescalculatereturns
Enforce monotonicity: P(t,T1) >= P(t,T2) for T1 < T2enforce_monotonicity
Correlation test for shocksesgcortest
Stochastic Discount Factorsesgdiscountfactor
Instantaneous forward ratesesgfwdrates
Test for martingale property and market consistencyesgmartingaletest
Convergence of Monte Carlo pricesesgmccv
Estimation of discounted asset pricesesgmcprices
Plot time series percentiles and confidence intervalsesgplotbands
Visualize the dependence between Gaussian shocksesgplotshocks
Plot time series objectsesgplotts
Forward rates extractionforwardrates
Generate a list of synthetic return paths using stochastic volatility models with randomized parameters.generate_diverse_sv_paths
Generate random SVJD scenarios with Feller-compliant parametersgenerate_svjd
Generate a single synthetic stock return path using a stochastic volatility model with jumps and regime switching.generate_synthetic_returns
Plot method for rvine_simulation objectsplot.rvine_simulation
Print method for rvine_simulation objectsprint.rvine_simulation
Simulate G2++ short rates modelrg2plus
Simulate Zero-Coupon Bond Prices using G2++ Modelrpriceg2plus
Simulate SVJD model (with Feller condition check)rsvjd
Simulate SVJD model (with Feller condition check) with G2++ short rates modelrsvjdg2plus
Convert Simulation Output to a zoo Time Seriessim_to_zoo
Simulation of diffusion processessimdiff
Simulation of Gaussian shocks for risk factorssimshocks
Enhanced R-vine copula simulation with proper distribution preservationsimulate_rvine
Yield curve or zero-coupon prices extrapolationycextra
Yield curve or zero-coupon prices interpolationycinter