vamc-package |
vamc: A package for pricing a pool of variable annuities. |
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. |
agePortfolio |
Age a portfolio of VA policies specified in each inPolicy of inPortfolio 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. |
buildCurve |
Bootstrap discount factors from a yield curve. |
calcMortFactors |
Calculates the mortality factors (t - 1)px q(x + t - 1) and tpx required to valuate the inPolicy. Extract gender, age (birth date & current date), valuation date (current date), and maturity date from inPolicy, mortality rates from mortTable. |
cForwardCurve |
Constant forward curve |
fundMap |
Fund map for 10 funds |
genFundScen |
Calculate numScen-by-numIndex-by-numStep fund scenarios based on given index scenarios indexScen and fund map fundMap that maps indices to funds. |
genIndexScen |
Simulate a 3D array, numScen by numIndex by numStep, of Black-Scholes return factors for numIndex indices in each of numStep time steps and each of numScen scenarios. Covariances among indices are specified in covMatrix. Stepsize is given is dT and interpolated discount factors are given in vDF. Random seed is optional for reproducibility. |
genPortInception |
Generate a portfolio of VA contracts at inception based on given attribute ranges and investment fund information. |
histDates |
Historical scenario dates |
histIdxScen |
Historical index scenario for 5 indices over 175 months |
indexNames |
Index names |
indexScen |
5 indices for 10 scenarios over 360 months |
mCov |
covariance matrix for 5 indices |
mortTable |
Mortality rate for male and female from ages 5 to 115 |
swapRate |
Swap rates across 30 years |
valuateOnePolicy |
Valuate a VA policy specified in inPolicy based on the simulated fund scenarios fundScen. The time step length is specified in dT and the discount rate for each period is specified in df. |
valuatePortfolio |
Valuate a portfolio VA policies specified in each curPolicy of inPortfolio based on the simulated fund scenarios fundScen. The time step length is specified in dT and the discount rate for each period is specified in df. |
vamc |
vamc: A package for pricing a pool of variable annuities. |
VAPort |
A randomly generated pool of variable annuities |