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-x86_64)esgtoolkit_1.10.2.zip(r-4.7-arm64)esgtoolkit_1.10.2.zip(r-4.6-x86_64)esgtoolkit_1.10.2.zip(r-4.6-arm64)esgtoolkit_1.10.2.zip(r-4.5-x86_64)
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✨
DESCRIPTION |NEWS
card.svg |card.png
esgtoolkit/json (API)

# 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

5.80 score 13 stars 39 scripts 24 exports 33 dependencies

Last updated from:08b2e8f3f1. Checks:13 WARNING, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64WARNING140
linux-devel-x86_64WARNING168
source / vignettesOK292
linux-release-arm64WARNING136
linux-release-x86_64WARNING169
macos-release-arm64WARNING161
macos-release-x86_64WARNING329
macos-oldrel-arm64WARNING134
macos-oldrel-x86_64WARNING189
windows-devel-arm64WARNING255
windows-devel-x86_64WARNING165
windows-release-arm64WARNING254
windows-release-x86_64WARNING124
windows-oldrel-x86_64WARNING134
wasm-releaseOK124

Exports:calculatereturnsdebug_printesgcortestesgdiscountfactoresgfwdratesesgmartingaletestesgmccvesgmcpricesesgplotbandsesgplotshocksesgplottsforwardratesgenerate_diverse_sv_pathsgenerate_svjdgenerate_synthetic_returnsrg2plusrpriceg2plusrsvjdrsvjdg2plussimdiffsimshockssimulate_rvineycextraycinter

Dependencies:ADGofTestclicpp11data.tablefarverggplot2gluegridExtragtableisobandlabelinglatticelifecyclemagrittrMASSmvtnormplyrR6randtoolboxRColorBrewerRcppreshape2rlangrngWELLS7scalesstringistringrvctrsVineCopulaviridisLitewithrzoo

Introduction
Rendered fromintro.Rmdusingknitr::rmarkdown

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

Synthetic Copula simulation
Rendered fromsyntheticopula.Rmdusingknitr::rmarkdown

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

More flexibility for simulations
============================================================================ | VOLATILITY SIMULATION (CIR PROCESS) | ASSET PRICE SIMULATION (GBM WITH JUMPS)
Rendered fromsimdiffts.Rmdusingknitr::rmarkdown

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

G2++
Rendered fromg2plus.Rmdusingknitr::rmarkdown

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

Martingale tests
Rendered frommartingale_test.Rmdusingknitr::rmarkdown

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

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