cForwardCurve

A dataset containing 2 percent continuously compounded annual interest rate
for illustration purposes.

datasets

Implementation of a Monte Carlo simulation engine for valuing synthetic portfolios of
variable annuities, which reflect realistic features of common annuity contracts in practice.
It aims to facilitate the development and dissemination of research related to the efficient
valuation of a portfolio of large variable annuities. The main valuation methodology was
proposed by Gan (2017) <doi:10.1515/demo-2017-0021>.

Ben Feng

vamc

A Monte Carlo Valuation Framework for Variable Annuities

Hengxin Li

GuoJun Gan

cForwardCurve function

A vector with 360 elements:<dl class="dl-horizontal">
 <dt>rate</dt><dd>discount rate</dd>
 ...
</dl>

Format

Constant forward curve — cForwardCurve

A vector with 360 elements:<dl class='dl-horizontal'>
 <dt>rate</dt><dd>discount rate</dd>
 ...
</dl>

cForwardCurve: Constant forward curve

Description

Usage

Arguments

Format