vamc (version 0.1.0)

ageOnePolicy: 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.

Description

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.

Usage

ageOnePolicy(inPolicy, mortTable, fundScen, scenDates, dT = 1/12,
  targetDate, df)

Arguments

inPolicy

A vector containing 45 attributes of a VA policy, usually a row of a VA portfolio dataframe.

mortTable

A dataframe with three columns of doubles representing the mortality table.

fundScen

A numScen-by-numStep-by-numFund array of doubles of return factors (i.e., exp(mu_t dt)) in each period.

scenDates

A vector containing strings in the format of "YYYY-MM-DD" of dates corresponding to each period in fundScen.

dT

A double of stepsize in years; dT = 1 / 12 would be monthly.

targetDate

A string in the format of "YYYY-MM-DD" of valuation date of the portfolio.

df

A vector of doubles of risk-free discount rates of different tenor (not forward rates), should have length being numStep.

Value

Outputs a vector containing 45 attributes of a VA policy, where currentDate, gbAmt, GMWBbalance, withdrawal, & fundValue could be updated as a result of aging. Usually a row of a VA portfolio dataframe.

Examples

# NOT RUN {
exPolicy <- VAPort[1, ]
targetDate <- "2016-01-01"
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)
# }
# NOT RUN {
targetDate <- "2001-01-01"
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)
# }
# NOT RUN {
exPolicy <- VAPort[1, ]
exPolicy[1, c("currentDate", "issueDate")] <- c("2001-01-01", "2001-01-01")
histFundScen <- genFundScen(fundMap, histIdxScen)
ageOnePolicy(exPolicy, mortTable, histFundScen, histDates, dT = 1 / 12,
targetDate, cForwardCurve)
# }