covariance matrix for 5 indices
Mortality rate for male and female from ages 5 to 115
Age a VA policy specified in inPolicy from currentDate (specified in
inPolicy) to targetDate. The againg scenario is given in fundScen.
The time step length is specified in dT.
Here we input a rather irrelevant parameter df to "hack" for a more
flexible user-defined projection function.
Historical scenario dates
Historical index scenario for 5 indices over 175 months
vamc: A package for pricing a pool of variable annuities.
Valuate a portfolio VA policies specified in each curPolicy of inPortfolio
based on the simulated fund scenarios fundScen.
The time step length is specified in dT and the discount rate for each period
is specified in df.
Index names
5 indices for 10 scenarios over 360 months
Swap rates across 30 years
Valuate a VA policy specified in inPolicy based on the simulated fund
scenarios fundScen. The time step length is specified in dT and the
discount rate for each period is specified in df.
Calculates the mortality factors (t - 1)px q(x + t - 1) and tpx required to
valuate the inPolicy. Extract gender, age (birth date & current date),
valuation date (current date), and maturity date from inPolicy, mortality
rates from mortTable.
Constant forward curve
Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index
scenarios indexScen and fund map fundMap that maps indices to funds.
A randomly generated pool of variable annuities
Simulate a 3D array, numScen by numIndex by numStep, of Black-Scholes return
factors for numIndex indices in each of numStep time steps and each of
numScen scenarios. Covariances among indices are specified in covMatrix.
Stepsize is given is dT and interpolated discount factors are given in vDF.
Random seed is optional for reproducibility.
Bootstrap discount factors from a yield curve.
Generate a portfolio of VA contracts at inception based on given attribute
ranges and investment fund information.
Fund map for 10 funds
Age a portfolio of VA policies specified in each inPolicy of inPortfolio from
currentDate (specified in inPolicy) to targetDate. The againg scenario is
given in fundScen. The time step length is specified in dT.
Here we input a rather irrelevant parameter df to "hack" for a more flexible
user-defined projection function.