v1.0.0

• Potentially breaking change (hence version 1.0.0): rename ESGtoolkit to esgtoolkit (announced here). Also, more consistent with the package naming in R universe

• include ycinter and ycextra, respectively for yield curve interpolation and extrapolation (comes from package ycinterextra, which will be discontinued (my choice) and has already been unilaterally removed by the CRAN landlords)

v0.6.2

1. Include Smith-Wilson and Hermite cubic spline for spot curve interpolation

2. Important announcement for 0.6.2:

Starting with 1.0.0, the next version, ESGtoolkit will be renamed as lower case esgtoolkit or else (to finally remove all my active packages from CRAN).

Because:

• gaslighting (questioning people’s sanity)
• https://thierrymoudiki.github.io/blog/2020/10/16/r/esgtoolkit-new-cran
• https://twitter.com/RaphaelS101/status/1506321629797883912
• other well-documented Rip***ades & co

v0.5.0

See https://techtonique.github.io/ESGtoolkit/news/ for more details on releases. Or (if you're a habitual user), just try this:

devtools::install_github("Techtonique/ESGtoolkit")

# GBM log returns (haha) with starting date 

# 1 - Simulation -----

eps0 <- ESGtoolkit::simshocks(n = 100, horizon = 5, frequency = "quart", start = c(1995, 1))
sim.GBM <- ESGtoolkit::simdiff(n = 100, horizon = 5, frequency = "quart",   
               model = "GBM", 
               x0 = 100, theta1 = 0.03, theta2 = 0.1, 
               eps = eps0, start = c(1995, 1))
log_returns_GBM <-  ESGtoolkit::calculatereturns(sim.GBM, type="log")  

# 2 - Plot simulations -----

par(mfrow=c(1, 2))
ESGtoolkit::esgplotbands(log_returns_GBM , xlab = "time", ylab = "values", main = "with esgplotbands")
matplot(as.vector(time(log_returns_GBM)), log_returns_GBM, type = 'l', 
main = "with matplot", xlab = "time")

VineCopula

VineCopula