Man pages for nathanesau/StocVal
Values embedded options in DB pension plan.
| A | An (Pricing kernel helper) |
| accountValueNF | Account Value without floor on return |
| accountValueWF | Account Value without floor on return |
| B | Bn' (Pricing kernel helper) |
| bmarkScenarios | Read SOA stochastic scenarios |
| calibrate_VAR | VAR Calibration (Step 2) |
| CBP3CFV | Helper function for floorOptionPBO |
| cholesky | Cholesky Decomposition |
| cholinput | DATA: cholesky correlation matrix |
| compare_yield_fit | Compare fitted yields to historical yields (PLOTS) |
| crspinput | DATA: Credit Rating Spread Input parameters |
| cubic_spline | Cubic Spline |
| curve_extensionCF | Curve Extension (Swap, constant forward) |
| curve_extensionNS | Curve Extension (Swap, Cubic Spline and N-S) |
| demoInfo | DATA: Demographic Info for Plan |
| determScenario | Generate a deterministic scenario |
| ers | Equity return scenario generation |
| ersTotal | Total equity return for scenarios |
| esga | ESGA |
| esgin | DATA: ESG scenario generation input |
| eur_call_bsm | Cost of European Call Option |
| floorOption | Cost of floor option |
| floorOptionPBO | Cost of floor option (pbo) |
| hull_white | 1-factor Hull White |
| hull_whiteBond | 1-factor Hull White (bond prices) |
| hw_theta | 1-factor Hull White Theta |
| inflation_in | DATA: Inputs for inflation scenario generation |
| inflation_mean | DATA: Inflation mean by term |
| inflationrs | Inflation scenario generation |
| meanScenarios | Calculate the average stochastic scenario |
| mortalityInfo | DATA: Mortality Info for Plan |
| NS_params | DATA: NS_params |
| nyearZero | N-year zero rates |
| parYield | Par Yield |
| Phi | DATA: Phi (VAR with 4 components) |
| planSummaryDeterm | Embedded option prices for each employee (Deterministic) |
| planSummaryStoc | Embedded option prices for each employee (Stochastic) |
| planVariables | DATA: Plan Features and Assumptions |
| rpi | DATA: Excess Equity Input parameters |
| Sigma | DATA: Sigma (VAR with 4 components) |
| srinput | DATA: Hull White Input parameters |
| stocfloorOption | Stochastic cost of floor option |
| stocfloorOptionPBO | Stochastic cost of floor option (pbo) |
| stochasticScenarios | Generate stochastic scenarios |
| surviveInfo | Survivorship Information for employee |
| term1 | DATA: 1-year deterministic yields |
| term10 | DATA: 10-year deterministic yields |
| termAssumption | Termination Assumption for an employee |
| termStruct | DATA: Term Structure rates |
| var_ols | VAR model (least squares estimates) |
| volterm.equity | DATA: Volatility by term of bond |
| volterm.inflation | DATA: Volatility by term from inflation |
