The package ESG is a simple Economic Scenario Generator designed with R, for the purpose of actuarial valuations. The first version v0.1 can be found on CRAN repository :
An example of use of this package, featuring short rate and equity projection, as well as a Best Estimate liability valuation, can be found here.
The files that have been used for this example can be found here, at the bottom of the page.
Future versions will include Martingale tests, inflation, a more flexible correlation structure…
Feedbacks are welcome !