valuatePortfolio: Valuate a Portfolio

In vamc: A Monte Carlo Valuation Framework for Variable Annuities

Description

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.

Usage

valuatePortfolio(inPortfolio, mortTable, fundScen, dT = 1/12, df)

Arguments

inPortfolio	A dataframe containing numPolicy rows and 45 attributes of each VA policy.
mortTable	A dataframe with three columns of doubles representing the mortality table.
fundScen	A numScen-by-numStep-by-numFund array of doubles of return factors (i.e., exp(mu_t dt)) in each period.
dT	A double of stepsize in years; dT = 1 / 12 would be monthly.
df	A vector of doubles of risk-free discount rates of different tenor (not forward rates), should have length being numStep.

Value

Outputs a list of doubles of portVal, the sum of average discounted payoff of the VAs in inPortfolio, portRC, the sum of average discounted risk charges of the VAs in inPortfolio, and vectors of doubles of these average discounted values for each policy.

Examples

fundScen <- genFundScen(fundMap, indexScen)[1, , ]
valuatePortfolio(VAPort[1:2, ], mortTable, fundScen, 1 / 12, cForwardCurve)

vamc documentation built on Feb. 28, 2020, 5:08 p.m.