{"repo":"JuliaActuary/EconomicScenarioGenerators.jl","free":true,"listed":false,"github":"https://github.com/JuliaActuary/EconomicScenarioGenerators.jl","clone":"git clone https://github.com/JuliaActuary/EconomicScenarioGenerators.jl.git","description":"Status: Technical Preview","language":"Julia","stars":16,"topics":["economic-scenario-generator","esg","finance","julia","risk"],"license":"MIT","category":"trading","readme_excerpt":"EconomicScenarioGenerators.jl [!NOTE] Maintenance mode. For single-model interest-rate scenario generation, prefer FinanceModels.ShortRate.{Vasicek, CoxIngersollRoss, HullWhite} together with FinanceModels.simulate / pv mc (FinanceModels ≥ 6), which are the maintained successors of this package's generators. EconomicScenarioGenerators.jl remains the home of Correlated — copula-correlated simulation across multiple models — which FinanceModels does not provide. Bug fixes continue; new features land in FinanceModels. Interested in developing economic scenario generators in Julia? Consider contributing to FinanceModels.jl. Open an issue, create a pull request, or discuss on the Julia Zulip's #actuary channel. Usage EconomicScenarioGenerators.jl is available via the General Registry. Install and use in the normal way: 1. Add EconomicScenarioGenerators via Pkg 2. import EconomicScenarioGenerators or using EconomicScenarioGenerators in your code Examples Importing packages First, import both EconomicScenarioGenerators and FinanceModels : Models Interest Rate Models - Vasicek - CoxIngersollRoss - HullWhite EquityModels - BlackScholesMerton Interest Rate Model Examples Vasicek You can collect a single generated scenario like so: And the package integrates with FinanceModels.jl: will produce a yield curve object (if UnicodePlots.jl has also been imported): CoxIngersollRoss A CIR model: Hull White Model using a FinanceModels.jl yield curve Construct a yield curve and use that as the ar","default_branch":null,"files":null,"tree":[],"storefront":"/r/JuliaActuary","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/JuliaActuary/EconomicScenarioGenerators.jl/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}