CBP3CFV: Helper function for floorOptionPBO

Description Usage Arguments Value

Description

Used to calculate PBO for closed form valuation

Usage

1
CBP3CFV(x, r, survFactor, discFactor, bondIndex, av, vol, floor)

Arguments

x

Actual age

r

Retirement age

survFactor

Survival factor for the current year

discFactor

Discount factor for the current year

bondIndex

The bond index for the current year

av

The account value at the beginning of the year

vol

The volatility on a long term treasury bond

floor

The floor rate

Value

The PBO for the given input parameters


nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.