histDates

A dataset containing the dates at which historical returns for different
indices were observed.

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

histDates function

A vector with 175 elements:<dl class="dl-horizontal">
 <dt>date</dt><dd>each observation date of the historical scenarios</dd>
 ...
</dl>

Format

Historical scenario dates — histDates

A vector with 175 elements:<dl class='dl-horizontal'>
 <dt>date</dt><dd>each observation date of the historical scenarios</dd>
 ...
</dl>

histDates: Historical scenario dates

Description

Usage

Arguments

Format