Toolkit for the simulation of financial assets and interest rates models.

Toolkit for Monte Carlo simulations of financial assets and interest rates models, involved in an Economic Scenario Generator (ESG). The underlying simulation loops have been implemented in C++.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1 by Thierry Moudiki, 5 years ago

Browse source code at

Authors: Jean-Charles Croix , Thierry Moudiki , Frederic Planchet , Wassim Youssef

Documentation:   PDF Manual  

GPL-2 | GPL-3 license

Imports Rcpp

Depends on CDVine, ggplot2, gridExtra, reshape2, ycinterextra

Suggests knitr, fOptions

Linking to Rcpp

See at CRAN