Monte Carlo simulation of a 2-factor interest rates model with ESGtoolkit

The whole post can be found here on RPubs, as (according to me !) this website provides a nice display for R code, figures and LaTeX formulas. Plus, you can publish directly on Rpubs, simply by using Markdown within RStudio.

Concerning the post content, it’s worth saying that there also a numerical integration error, induced by the calculation of discount factors.

For more ressources on ESGtoolkit, you can read these slides of a talk that I gave last month at Institut de Sciences Financières et d’Assurances (Université Lyon 1), and the package vignette.

Please, cite the package whenever you use it, according to citation(“ESGtoolkit”). And do not hesitate to report bugs or send features request 😉

simG2plus

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3 Comments

Filed under Conference Talks, R stuff

3 responses to “Monte Carlo simulation of a 2-factor interest rates model with ESGtoolkit

  1. Azmath

    Hi,

    Do you have excel toolkit? If so kindly share.

    Regards,
    Azmath

    Like

  2. Pingback: Heston model for Options pricing with ESGtoolkit | Thierry Moudiki's blog

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