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Merge pull request #5 from Techtonique/try-renaming2
renaming package to lower case esgtoolkit and include functions for yield curve interpolation and extrapolation (previously available in package ycinterextra)
2 parents 77b648e + f4245f2 commit c443a5f

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‎.gitignore‎

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src/*.o
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src/*.so
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src/*.dll
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ESGtoolkit.Rcheck/
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ESGtoolkit*.tar.gz
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ESGtoolkit*.tgz
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esgtoolkit.Rcheck/
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esgtoolkit*.tar.gz
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esgtoolkit*.tgz
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docs

‎CONTRIBUTING.md‎

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# `ESGtoolkit` Code of Conduct
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# `esgtoolkit` Code of Conduct
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## 1. Purpose
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‎DESCRIPTION‎

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Package: ESGtoolkit
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Package: esgtoolkit
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Type: Package
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Title: Toolkit for Monte Carlo Simulations
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Version: 0.6.2
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Date: 2023-10-01
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Version: 1.0.0
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Date: 2023-10-09
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Authors@R: c(
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person("T.", "Moudiki", , "[email protected]", role = c("aut", "cre")
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)
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)
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URL: https://techtonique.github.io/ESGtoolkit/
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BugReports: https://github.com/Techtonique/ESGtoolkit/issues
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URL: https://github.com/Techtonique/esgtoolkit
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BugReports: https://github.com/Techtonique/esgtoolkit/issues
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Maintainer: T. Moudiki <[email protected]>
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Description: 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.
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License: BSD_3_clause Clear + file LICENSE
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Depends: ggplot2, gridExtra, reshape2, VineCopula, randtoolbox
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Depends: ggplot2, gridExtra, methods, reshape2, VineCopula, randtoolbox
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Imports: Rcpp(>= 0.11.0)
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Suggests:
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devtools,
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testthat
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LinkingTo: Rcpp
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Collate: 'RcppExports.R' 'calculatereturns.R' 'fwdrates.R' 'discount_factors.R' 'plots.R' 'rates_interpolation.R' 'simulations_risks.R' 'simulations_shocks.R' 'tests.R' 'tools.R' 'zzz.R'
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Packaged: 2014-06-12 23:32:30 UTC; Thierry
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NeedsCompilation: yes
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Repository: CRAN

‎NAMESPACE‎

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export(esgplotts)
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export(simdiff)
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export(simshocks)
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export(forwardrates)
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export(ycextra)
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export(ycinter)
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importFrom("graphics", "hist")
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importFrom("methods", "new")
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importFrom("stats", "density", "median", "nlminb", "optim", "pf",
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"qqline", "qqnorm", "shapiro.test")
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importFrom("utils", "setTxtProgressBar", "txtProgressBar")
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importFrom(ggplot2, ggplot)
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importFrom(ggplot2, qplot)
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importFrom(gridExtra, grid.arrange)
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importFrom("stats", "cor", "cor.test", "deltat", "end", "is.ts", "pt",
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"qnorm", "qt", "quantile", "sd", "start", "t.test", "time",
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"ts", "tsp", "window")
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useDynLib("ESGtoolkit")
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useDynLib("esgtoolkit")
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‎NEWS.md‎

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# version 1.0.0
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- rename `ESGtoolkit` to `esgtoolkit` (announced [here](https://thierrymoudiki.github.io/blog/2023/10/02/r/esgtoolkit-v062))
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- include `ycinter` and `ycextra` (from package `ycinterextra`, discontinued and unilaterally removed from CRAN)
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# version 0.6.2
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- **Important:** Starting with 1.0.0, the next version, it will be renamed as: 'esgtoolkit' (to finally remove all my active packages from CRAN)
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- Use [VineCopula](http://tnagler.github.io/VineCopula/) package instead of CDVine (archived) for dependency simulation (means there's also now VineCopula's R-Vine Copulas simulation)
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- Remove roxygen2 comments
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- Create website with pkgdown, including docs --> https://techtonique.github.io/ESGtoolkit/
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- Create website with pkgdown, including docs --> https://techtonique.github.io/esgtoolkit/
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# version 0.2.0

‎R/RcppExports.R‎

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# Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393
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rnormESGcpp <- function(N, M) {
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.Call('_ESGtoolkit_rnormESGcpp', PACKAGE = 'ESGtoolkit', N, M)
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.Call('_esgtoolkit_rnormESGcpp', PACKAGE = 'esgtoolkit', N, M)
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}
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rOUESGcpp <- function(N, horizon, Delta, x0, theta, eps) {
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.Call('_ESGtoolkit_rOUESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
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.Call('_esgtoolkit_rOUESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
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}
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rOUESGcppexact <- function(N, horizon, Delta, x0, theta, eps) {
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.Call('_ESGtoolkit_rOUESGcppexact', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
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.Call('_esgtoolkit_rOUESGcppexact', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
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}
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rCIRESGcpp <- function(N, horizon, Delta, x0, theta, eps) {
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.Call('_ESGtoolkit_rCIRESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
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.Call('_esgtoolkit_rCIRESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
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}
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rCIRESGcppexact <- function(N, horizon, Delta, x0, theta, eps) {
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.Call('_ESGtoolkit_rCIRESGcppexact', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
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.Call('_esgtoolkit_rCIRESGcppexact', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
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}
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rGBMESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, eps) {
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.Call('_ESGtoolkit_rGBMESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, eps)
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.Call('_esgtoolkit_rGBMESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, eps)
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}
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rGBMjumpsnormESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps) {
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.Call('_ESGtoolkit_rGBMjumpsnormESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps)
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.Call('_esgtoolkit_rGBMjumpsnormESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps)
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}
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rGBMjumpskouESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps) {
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.Call('_ESGtoolkit_rGBMjumpskouESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps)
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.Call('_esgtoolkit_rGBMjumpskouESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps)
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}
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TAGcorecpp <- function(sim, sj_down, sj_up, n, p) {
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.Call('_ESGtoolkit_TAGcorecpp', PACKAGE = 'ESGtoolkit', sim, sj_down, sj_up, n, p)
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.Call('_esgtoolkit_TAGcorecpp', PACKAGE = 'esgtoolkit', sim, sj_down, sj_up, n, p)
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}
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‎R/utils.R‎

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########## Tools
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# simply coumpounded euribor rate
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euriborfromprice <- function(t, T, ZC)
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{
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# Brigo P. 7
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tau <- T-t
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return(as.vector((1/ZC - 1)/tau))
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}
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euriborfromprice <- compiler::cmpfun(euriborfromprice)
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# simply coumpounded zero-coupon price
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pricefromeuribor <- function(t, T, L)
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{
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# Brigo P. 7
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tau <- T-t
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return(as.vector(1/(1 + L*tau)))
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}
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pricefromeuribor <- compiler::cmpfun(pricefromeuribor)
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# simply coumpounded forward rate
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fwdrate <- function(T_, S, ZC_T, ZC_S)
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{
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# Brigo P. 12
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tau <- S-T_
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return((ZC_T/ZC_S - 1)/tau)
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}
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fwdrate <- compiler::cmpfun(fwdrate)
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# Swap curve bootstrap
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bootstrapswapcurve <- function(swaprate, maturity, typeres=c("rates", "prices"))
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{
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swaprate <- swaprate/100
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accrual <- diff(maturity)
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n <- length(swaprate)
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ZC <- numeric(n)
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ZC[1] <- 1/(1+maturity[1]*swaprate[1])
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for (i in seq_len(n)[-1])
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{
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ind <- seq_len(i-1)
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ZC[i] <- (1 - swaprate[i]*sum(accrual[ind]*ZC[ind]))/(1+swaprate[i]*accrual[i-1])
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}
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typeres <- match.arg(typeres)
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if (missing(typeres) || typeres == "prices")
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{return(ts(ZC))}
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if (typeres == "rates")
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{return((1-ZC)/(maturity*ZC))}
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}
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bootstrapswapcurve <- compiler::cmpfun(bootstrapswapcurve)

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