genFundScen

A numFund-by-numIndex matrix of doubles,
mapping indices to funds.

fundMap

A numScen-by-numStep-by-numIndex array of doubles,
index scenarios.

indexScen

Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index
scenarios indexScen and fund map fundMap that maps indices to funds.

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

genFundScen function

Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index
scenarios indexScen and fund map fundMap that maps indices to funds. — genFundScen

genFundScen: Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index scenarios indexScen and fund map fundMap that maps indices to funds.

Description

Usage

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Value

Examples