floorOption: Cost of floor option

In nathanesau-academic/StocVal: Values embedded options in DB pension plan.

Description

Returns the cost of the embedded floor option, calculated by taking the difference in the payment with the option vs without the option.

Usage

floorOption(accountValueNF.out, accountValueWF.out, oneyear = term1,
  tenyear = term10)

Arguments

accountValueNF.out	output of accountValueNF()
accountValueWF.out	output of accountValueWF()
oneyear	1 year treasury bond yields. By default, deterministic scenario output is used.
tenyear	10 year treasury bond yields. By default, deterministic scenario output is used.

Details

The option is a floor on the minimum return, so it increases the value of the benefit for the employee.

Value

The cost of the embedded option

Examples

surviveInfo.out <- surviveInfo(demoInfo[5,]);
 accountValueNF.out <- accountValueNF(demoInfo[5,], surviveInfo.out);
 accountValueWF.out <- accountValueWF(demoInfo[5,], surviveInfo.out);
 floorOption.cost <- floorOption(accountValueNF.out, accountValueWF.out)

nathanesau-academic/StocVal documentation built on Nov. 4, 2019, 8:35 p.m.