stocfloorOptionPBO: Stochastic cost of floor option (pbo)

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

Description

Returns a list containing the costs of the floor option under each stochastic scenario, the expected value and variance

Usage

stocfloorOptionPBO(employee, surviveInfo.out, stochasticScenarios.out,
  assumptions = planVariables)

Arguments

employee	A row from the demoInfo dataset
surviveInfo.out	output of surviveInfo()
stochasticScenarios.out	output of stochasticScenarios()

Value

A list containing the cost of the option under each scenario, mean and variance.

Examples

surviveInfo.out <- surviveInfo(demoInfo[5,]);
 termStruct.out <- cubic_spline(termStruct);
 termStruct.extension <- curve_extensionNS(termStruct.out);
 credit_spread <- rep(0.01,100);
 hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
 cholesky.out <- cholesky(cholinput);
 esga.out <- esga(esgin, credit_spread, volterm.equity, inflation_mean,
 volterm.inflation , cholesky.out, termStruct.extension);
 stochasticScenarios.out <- stochasticScenarios(hw.out, termStruct.extension,
 srinput, esga.out)
 stocfloorOptionPBO.cost <- stocfloorOptionPBO(demoInfo[5,], surviveInfo.out,
 stochasticScenarios.out)

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