Package: esgtoolkit 1.2.1

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_1.2.1.tar.gz
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esgtoolkit.pdf |esgtoolkit.html✨
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:

diffusion-model diffusion-models monte-carlo-methods monte-carlo-simulation montecarlo-simulation scenario-analysis scenario-creator scenario-generation simulation stochastic-differential-equations stochastic-processes stochastic-simulation cpp

3.92 score 10 stars 28 scripts 16 exports 39 dependencies

Last updated 14 days agofrom:7a6274fec8. Checks:1 OK, 10 WARNING. Indexed: yes.

Target	Result	Latest binary
Doc / Vignettes	OK	Feb 07 2025
R-4.5-win-x86_64	WARNING	Feb 07 2025
R-4.5-mac-x86_64	WARNING	Feb 07 2025
R-4.5-mac-aarch64	WARNING	Feb 07 2025
R-4.5-linux-x86_64	WARNING	Feb 07 2025
R-4.4-win-x86_64	WARNING	Feb 07 2025
R-4.4-mac-x86_64	WARNING	Feb 07 2025
R-4.4-mac-aarch64	WARNING	Feb 07 2025
R-4.3-win-x86_64	WARNING	Feb 07 2025
R-4.3-mac-x86_64	WARNING	Feb 07 2025
R-4.3-mac-aarch64	WARNING	Feb 07 2025

Exports:calculatereturns debug_print esgcortest esgdiscountfactor esgfwdrates esgmartingaletest esgmccv esgmcprices esgplotbands esgplotshocks esgplotts forwardrates simdiff simshocks ycextra ycinter

Dependencies:ADGofTest cli colorspace fansi farver ggplot2 glue gridExtra gtable isoband labeling lattice lifecycle magrittr MASS Matrix mgcv munsell mvtnorm nlme pillar pkgconfig plyr R6 randtoolbox RColorBrewer Rcpp reshape2 rlang rngWELL scales stringi stringr tibble utf8 vctrs VineCopula viridisLite withr

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Calculate returns or log-returns for multivariate time series	calculatereturns
Correlation tests for the shocks (if Gaussian copula)	esgcortest
Stochastic discount factors or discounted values	esgdiscountfactor
Instantaneous forward rates	esgfwdrates
Martingale and market consistency tests	esgmartingaletest
Convergence of Monte Carlo prices	esgmccv
Estimation of discounted asset prices	esgmcprices
Plot time series percentiles and confidence intervals	esgplotbands
Visualize the dependence between 2 gaussian shocks	esgplotshocks
Plot time series objects	esgplotts
Forward rates extraction	forwardrates
Simulation of diffusion processes.	simdiff
Underlying gaussian shocks for risk factors' simulation.	simshocks
Yield curve or zero-coupon prices extrapolation	ycextra
Yield curve or zero-coupon prices interpolation	ycinter