financials_BZ2016: BZ2016 financial processes

In IvanZoccolan/valuer: Pricing of Variable Annuities

Description

List of parameters to initialize a va_sde_engine2 object to simulate the interest rate and log price processes being the volatility constant. The interest rate and fund processes follow the stochastic differential equations specified in BMOP2011 - See References. The volatility is constant with default value 0.2

Usage

financials_BZ2016

Format

A list with elements:

[[1]]

List of parameters for simulate

[[2]]

List of parameters for setModel

[[3]]

Vector with indices indicating the interest rate and log price in solve.variable setModel

References

1. [BMOP2011] Bacinello A.R., Millossovich P., Olivieri A. e Pitacco E. "Variable annuities: a unifying valuation approach." In: Insurance: Mathematics and Economics 49 (2011), pp. 285-297.

Examples

 #Sets the constant volatility to 0.3
 financials_BZ2016[[1]]$K <- 0.3 ^ 2

IvanZoccolan/valuer documentation built on May 7, 2019, 6:45 a.m.