ActuaryUtilities.jl

Common functions in actuarial and financial routines
Author JuliaActuary
Popularity
2 Stars
Updated Last
4 Months Ago
Started In
March 2020

ActuaryUtilities

Stable Dev CI Codecov

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, or DV01 durations for a set of cashflows
  • convexity for price sensitivity
  • present_value or pv to calculate the present value of a set of cashflows
  • discount_rate for a given fixed rate or InterestCurve
  • internal_rate_of_return or irr to calculate the IRR given cashflows (including at timepoints like Excel's XIRR)
  • 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.

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