R/variance_post_mood_pm.R

In fabriziomaturo/AnnuityRIR: Annuity Random Interest Rates

variance_post_mood_pm=function(data,years=10){

  n=years
  U=1+data
  u=mean(U)

  u2=moment(U,
            central = FALSE,
            absolute = FALSE,
            order = 2)

  un=moment(U,
            central = FALSE,
            absolute = FALSE,
            order = n)

  u2n=moment(U,
             central = FALSE,
             absolute = FALSE,
             order = 2*n)

  un1=moment(U,
             central = FALSE,
             absolute = FALSE,
             order = (n+1))

  un2=moment(U,
             central = FALSE,
             absolute = FALSE,
             order = (n+2))

  u2n1=moment(U,
              central = FALSE,
              absolute = FALSE,
              order = 2*n+1)

  u2n2=moment(U,
              central = FALSE,
              absolute = FALSE,
              order = 2*n+2)

  ex=un-1
  ey=un1-un
  vx=u2n-un^2
  vy=u2n2-2*u2n1+u2n-(un1-un)^2
  covxy=u2n1-un*un1-u2n+un^2

  var_nm=((ex/ey)^2)*((vx/(ex)^2)+(vy/(ey)^2)-(2*covxy/(ex*ey)))


  return(var_nm)

}