This function performs martingale and market consistency (t-)tests.
● Data Source:
CranContrib
● Keywords:
● Alias: esgmartingaletest
●
1 images
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esgcortest
(Package: ESGtoolkit) :
Correlation tests for the shocks
This function performs correlation tests for the shocks generated by simshocks.
● Data Source:
CranContrib
● Keywords:
● Alias: esgcortest
●
1 images
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Toolkit for Monte Carlo simulation of financial assets and interest rates, involved in an Economic Scenario Generator (ESG).
● Data Source:
CranContrib
● Keywords: ESG, Economic Scenario Generator, Finance, Insurance, Risk Management
● Alias: ESGtoolkit, ESGtoolkit-package
●
0 images
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esgplotbands
(Package: ESGtoolkit) :
Plot time series percentiles and confidence intervals
This function plots colored bands for time series percentiles and confidence intervals. You can use it for outputs from link{simdiff}, link{esgmartingaletest}, link{esgcortest}.
● Data Source:
CranContrib
● Keywords:
● Alias: esgplotbands
●
3 images
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This function provides instantaneous forward rates. They can be used in no-arbitrage short rate models, to fit the yield curve exactly.
● Data Source:
CranContrib
● Keywords:
● Alias: esgfwdrates
●
0 images
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esgplotts
(Package: ESGtoolkit) :
Plot time series objects
This function plots outputs from simdiff.
● Data Source:
CranContrib
● Keywords:
● Alias: esgplotts
●
1 images
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esgplotshocks
(Package: ESGtoolkit) :
Visualize the dependence between 2 gaussian shocks
This function helps you in visualizing the dependence between 2 gaussian shocks.
● Data Source:
CranContrib
● Keywords:
● Alias: esgplotshocks
●
0 images
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esgmccv
(Package: ESGtoolkit) :
Convergence of Monte Carlo prices
This function computes and plots confidence intervals around the estimated average price, as functions of the number of simulations.
● Data Source:
CranContrib
● Keywords:
● Alias: esgmccv
●
1 images
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esgdiscountfactor
(Package: ESGtoolkit) :
Stochastic discount factors or discounted values
This function provides calculation of stochastic discount factors or discounted values
● Data Source:
CranContrib
● Keywords:
● Alias: esgdiscountfactor
●
0 images
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esgmcprices
(Package: ESGtoolkit) :
Estimation of discounted asset prices
This function computes estimators (sample mean) of
● Data Source:
CranContrib
● Keywords:
● Alias: esgmcprices
●
0 images
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providing 
.