Man pages for nathanesau/StocVal
Values embedded options in DB pension plan.

AAn (Pricing kernel helper)
accountValueNFAccount Value without floor on return
accountValueWFAccount Value without floor on return
BBn' (Pricing kernel helper)
bmarkScenariosRead SOA stochastic scenarios
calibrate_VARVAR Calibration (Step 2)
CBP3CFVHelper function for floorOptionPBO
choleskyCholesky Decomposition
cholinputDATA: cholesky correlation matrix
compare_yield_fitCompare fitted yields to historical yields (PLOTS)
crspinputDATA: Credit Rating Spread Input parameters
cubic_splineCubic Spline
curve_extensionCFCurve Extension (Swap, constant forward)
curve_extensionNSCurve Extension (Swap, Cubic Spline and N-S)
demoInfoDATA: Demographic Info for Plan
determScenarioGenerate a deterministic scenario
ersEquity return scenario generation
ersTotalTotal equity return for scenarios
esgaESGA
esginDATA: ESG scenario generation input
eur_call_bsmCost of European Call Option
floorOptionCost of floor option
floorOptionPBOCost of floor option (pbo)
hull_white1-factor Hull White
hull_whiteBond1-factor Hull White (bond prices)
hw_theta1-factor Hull White Theta
inflation_inDATA: Inputs for inflation scenario generation
inflation_meanDATA: Inflation mean by term
inflationrsInflation scenario generation
meanScenariosCalculate the average stochastic scenario
mortalityInfoDATA: Mortality Info for Plan
NS_paramsDATA: NS_params
nyearZeroN-year zero rates
parYieldPar Yield
PhiDATA: Phi (VAR with 4 components)
planSummaryDetermEmbedded option prices for each employee (Deterministic)
planSummaryStocEmbedded option prices for each employee (Stochastic)
planVariablesDATA: Plan Features and Assumptions
rpiDATA: Excess Equity Input parameters
SigmaDATA: Sigma (VAR with 4 components)
srinputDATA: Hull White Input parameters
stocfloorOptionStochastic cost of floor option
stocfloorOptionPBOStochastic cost of floor option (pbo)
stochasticScenariosGenerate stochastic scenarios
surviveInfoSurvivorship Information for employee
term1DATA: 1-year deterministic yields
term10DATA: 10-year deterministic yields
termAssumptionTermination Assumption for an employee
termStructDATA: Term Structure rates
var_olsVAR model (least squares estimates)
volterm.equityDATA: Volatility by term of bond
volterm.inflationDATA: Volatility by term from inflation
nathanesau/StocVal documentation built on May 23, 2017, 10:33 a.m.