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++.
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Thierry Moudiki, 5 years ago
Browse source code at
GPL-2 | GPL-3
Depends on CDVine, ggplot2, gridExtra, reshape2, ycinterextra
Suggests knitr, fOptions
Linking to Rcpp
See at CRAN