swapRate

A dataset containing US swap rates for various maturities.

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

swapRate function

A vector with 8 elements:<dl class="dl-horizontal">
 <dt>rate</dt><dd>swap rate</dd>
 ...
</dl>

Format

These swap rates were assessed on 2016-02-08

Remark

Swap rates across 30 years — swapRate

A vector with 8 elements:<dl class='dl-horizontal'>
 <dt>rate</dt><dd>swap rate</dd>
 ...
</dl>

swapRate: Swap rates across 30 years

Description

Usage

Arguments

Format

Remark