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Merge branch 'master' into try-renaming2
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‎NEWS.md‎

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# version 1.0.0
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- rename `ESGtoolkit` to `esgtoolkit`
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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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# version 0.6.0
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- include hermite cubic spline and Smith-Wilson methods for curve interpolation

‎R/discount_factors.R‎

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# Stochastic discount factors or discounted values -----
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esgdiscountfactor <- function(r, X)
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{
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if(missing(r) || missing(X))
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stop("'r' and 'X' must be provided")
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length.r <- length(r)
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length.X <- length(X)
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start.r <- start(r)
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deltat.r <- deltat(r)
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start.X <- start(X)
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deltat.X <- deltat(X)
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if(length.r == 1 && length.X == 1)
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{
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return(X*exp(-r))
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}
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if(length.r == 1 && length.X != 1)
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{
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r <- ts(matrix(r, nrow(X), ncol(X)),
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start = start.X, deltat = deltat.X)
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if(tsp(X)[1] > 0)
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{
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return(ts(X*exp(-apply(r, 2, cumsum)*deltat.X),
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start = 0,
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deltat = deltat.X))
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}
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else
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{
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Int_r <- exp(-apply(r, 2, cumsum)*deltat.X)
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return(ts(X*rbind(rep(1, ncol(X)),
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Int_r[1:(nrow(X)-1), ]), ,
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start = 0,
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deltat = deltat.X))
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}
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}
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if(length.r != 1 && length.X == 1)
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{
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X <- ts(matrix(X, nrow(r), ncol(r)),
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start = start.r, deltat = deltat.r)
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return(ts(X*exp(-apply(r, 2, cumsum)*deltat.r),
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start = 0,
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deltat = deltat.r))
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}
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if(length.r != 1 && length.X != 1)
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{
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if(tsp(X)[1] > 0)
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{
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return(suppressWarnings(ts(X*window(exp(-apply(r, 2, cumsum)*deltat.r),
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start = start.X,
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deltat = deltat.X),
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start = 0,
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deltat = deltat.X)))
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}
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else
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{
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Int_r <- ts(exp(-apply(r, 2, cumsum)*deltat.r), deltat = deltat.r)
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return(suppressWarnings(ts(X*rbind(rep(1, ncol(X)),
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Int_r[1:(nrow(X)-1), ]), ,
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start = 0,
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deltat = deltat.X)))
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}
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}
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}
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# Estimation of discounted asset prices -----
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esgmcprices <- function(r, X, maturity = NULL)
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{
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if(missing(r) || missing(X))
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stop("'r' and 'X' must be provided")
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maturity.out <- maturity
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if(is.ts(X) && tsp(X)[1] > 0 && !is.null(maturity))
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{
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maturity.out <- maturity - deltat(X)
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}
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Y <- esgdiscountfactor(r, X)
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if(length(r) == 1 && length(X) == 1)
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{
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return(Y)
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}
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Z <- ts(rowMeans(Y), start = start(Y), deltat = deltat(Y))
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if(!is.null(maturity))
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{
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return(window(Z, start = maturity.out, end = maturity.out))
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}
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else
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{
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return(Z)
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}
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}
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‎R/tests.R‎

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# Martingale Tests and Monte Carlo convergence --------------------------------------------------
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# Stochastic discount factors or discounted values
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esgdiscountfactor <- function(r, X)
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{
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if(missing(r) || missing(X))
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stop("'r' and 'X' must be provided")
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length.r <- length(r)
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length.X <- length(X)
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start.r <- start(r)
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deltat.r <- deltat(r)
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start.X <- start(X)
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deltat.X <- deltat(X)
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if(length.r == 1 && length.X == 1)
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{
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return(X*exp(-r))
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}
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if(length.r == 1 && length.X != 1)
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{
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r <- ts(matrix(r, nrow(X), ncol(X)),
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start = start.X, deltat = deltat.X)
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if(tsp(X)[1] > 0)
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{
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return(ts(X*exp(-apply(r, 2, cumsum)*deltat.X),
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start = 0,
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deltat = deltat.X))
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}
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else
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{
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Int_r <- exp(-apply(r, 2, cumsum)*deltat.X)
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return(ts(X*rbind(rep(1, ncol(X)),
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Int_r[1:(nrow(X)-1), ]), ,
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start = 0,
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deltat = deltat.X))
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}
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}
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if(length.r != 1 && length.X == 1)
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{
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X <- ts(matrix(X, nrow(r), ncol(r)),
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start = start.r, deltat = deltat.r)
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return(ts(X*exp(-apply(r, 2, cumsum)*deltat.r),
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start = 0,
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deltat = deltat.r))
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}
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if(length.r != 1 && length.X != 1)
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{
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if(tsp(X)[1] > 0)
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{
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return(suppressWarnings(ts(X*window(exp(-apply(r, 2, cumsum)*deltat.r),
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start = start.X,
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deltat = deltat.X),
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start = 0,
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deltat = deltat.X)))
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}
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else
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{
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Int_r <- ts(exp(-apply(r, 2, cumsum)*deltat.r), deltat = deltat.r)
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return(suppressWarnings(ts(X*rbind(rep(1, ncol(X)),
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Int_r[1:(nrow(X)-1), ]), ,
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start = 0,
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deltat = deltat.X)))
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}
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}
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}
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# Estimation of discounted asset prices
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esgmcprices <- function(r, X, maturity = NULL)
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{
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if(missing(r) || missing(X))
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stop("'r' and 'X' must be provided")
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maturity.out <- maturity
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if(is.ts(X) && tsp(X)[1] > 0 && !is.null(maturity))
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{
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maturity.out <- maturity - deltat(X)
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}
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Y <- esgdiscountfactor(r, X)
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if(length(r) == 1 && length(X) == 1)
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{
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return(Y)
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}
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Z <- ts(rowMeans(Y), start = start(Y), deltat = deltat(Y))
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if(!is.null(maturity))
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{
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return(window(Z, start = maturity.out, end = maturity.out))
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}
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else
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{
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return(Z)
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}
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}
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# Convergence of Monte Carlo prices
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esgmccv <- function(r, X, maturity, plot = TRUE, ...)
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{

‎R/zzz.R‎

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#.onAttach <- function(lib, pkg) {
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#packageStartupMessage(
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# ".\n")
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#}
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.onLoad <- function(libname, pkgname) {
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}
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.onAttach <- function(libname, pkgname) {
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packageStartupMessage(
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"\n \n This is version ",
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utils::packageVersion(pkgname),
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" of ",
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pkgname,
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". Starting with 1.0.0, the next version, it will be renamed as: 'esgtoolkit' (to finally remove all my active packages from CRAN) \n \n "
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)
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}

‎README.md‎

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esgtoolkit | <a class="github-button" href="https://github.com/Techtonique/esgtoolkit/stargazers" data-color-scheme="no-preference: light; light: light; dark: dark;" data-size="large" aria-label="Star esgtoolkit/esgtoolkit on GitHub">Star</a>
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==========
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[![Downloads](https://cranlogs.r-pkg.org/badges/esgtoolkit)](https://cran.r-project.org/package=esgtoolkit) (Not on CRAN anymore, so this is certainly not accurate... )
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[![Last Commit](https://img.shields.io/github/last-commit/Techtonique/esgtoolkit)](https://github.com/Techtonique/esgtoolkit)
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**Important:** Starting with 1.0.0, the package is renamed as lower case 'esgtoolkit' (to finally remove all my active packages from CRAN)
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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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