ActuaryUtilities
A collection of common functions/manipulations used in Actuarial Calculations.
Some of the functions included:
duration
:- Calculate the duration given an issue date and date (a.k.a. policy duration)
- Calculate the
Macaulay
,Modified
, orDV01
durations for a set of cashflows
convexity
for price sensitivitypresent_value
orpv
to calculate the present value of a set of cashflowsdiscount_rate
for a given fixed rate orInterestCurve
internal_rate_of_return
orirr
to calculate the IRR given cashflows (including at timepoints like Excel'sXIRR
)breakeven
to calculate the breakeven time for a set of cashflows
Documentation
Click the docs badges above for more details and examples.
Useful tips
Functions often use a mix of interest_rates, cashflows, and timepoints. When calling functions, the general order of the arguments is 1) interest rates, 2) cashflows, and 3) timepoints.